|Abstract: ||本論文利用具不對稱相依結構及極值特性的Copula函數，依極端相依及一般相依定義，應用1988年1月1日至2008年8月1日之樣本資料，將原油價格區分成穩定時期(1988 - 1999)與大漲時期(2000 - 2008)，分別捕捉其與各國股票市場股價指數間之相依結構，計算原油價格與股價指數間極端相依及一般相依之相關係數。 結果發現，原油價格與股價指數間之相依性，在不同情境下確實有不同之相依結構，二者之關係在油價穩定時期多存在右尾尾部相依(RTDC)，即同時發生「油價大幅上漲、股價大幅下跌」之相依性；國際油價在大漲時期多存在左尾尾部相依(LTDC)，即同時發生「油價大幅下跌、股價大幅上漲」之相依性。換言之，當原油價格穩定，油價與股價變動之尾部相依多為右尾尾部相依或是無關，但原油價格大漲時，油價與股價變動之尾部相依由原先的右尾尾部相依或是無關轉變為左尾尾部相依；可能原因為以往石油危機發生時，油價是在極短時間內就達到高點，但這一波油價是經長時間才出現一倍的成長，讓全球經濟有充分時間進行調整；在者，投資者對於油價上漲己有預期，使得油價下跌的好消息遠超過油價上漲帶來的負面影響，導致油價上漲的重要性較下跌小。 有別於其他國家，中國為2000後唯一存在右尾尾部相依，推論可能原因為中國於2000年前後平均每日原油淨進口量增加17倍之多，其對原油的需求使得油價上升仍不利於中國開發，令其於2000年後有「油價大幅上漲、股價大幅下跌」之情形產生。 若以國家發展程度、地理位置、產油與否之特性作一分類可發現： 1. 所有開發中國家於2000年前皆無極端相依與一般相依，2000年後開始有極端相依出現，其恰巧與金磚四國崛起之時點不謀而合。 2. 所有歐美洲地區國家於2000年前皆不存在左尾尾部相依，僅少數國家存在右尾尾部相依，此現象與於2000年後恰好相反。 3. 所有產油暨淨出口國於2000年後皆存在顯著正向的一般相依情形，表示在一般情形下油價上漲確實可帶動其股價指數；淨進口原油之國家，其相依結構於2000年前後皆由右尾尾部相依轉變為左尾尾部相依。 上述結果皆呼應之前論述，以往石油危機發生時，油價是在極短的時間內就達到高點，但2000年後投資者對於油價上漲己有預期，導致油價上漲的重要性較下跌小，因而造成2000年前後相依結構轉變。|
The purpose of this thesis is to apply copula functions, which are known to have asymmetric dependence structure, characteristics of extreme value and definitions in accordance with extreme dependence and regular dependence, to analyze dependence structure between the crude oil price and the international stock price index. We divide the sample data into a period of stable crude oil price from 1988 to 1999 and a period of extreme price variations from 2000 to 2008 to capture the dependence structure separately. We also compare the dependence structure and calculate correlation coefficients of extreme and regular dependence between the crude oil price and the international stock price index. Surprisingly, we find that the dependence structure between the crude oil price and the international stock price index are different under various situations. It is always a right tail dependence coefficient (RTDC) in stable price period. This means whenever crude oil price rises sharply, the international stock price plunges. On the other hand, it is always a left tail dependence coefficient (LTDC) in period of sharp price variations. This suggests that when crude oil price plunges, international stock price soars. In other words, when the crude oil price is stable, the tail dependence between the change in crude oil price and international stock price index will always be RTDC or independent. But the tail dependence will change to LTDC from RTDC or independent once the crude oil price surges. The reason may be that during the oil crisis, the price rises to a high point within an extremely short period of time, but it only occurs after a long period of time when the global economy had already got enough time for adjustment. Furthermore, the investors have predicted the increase in crude oil price, making impact of good news from falling crude oil price to exceed the negative impact of an increase in crude oil price and hence causing an increase in oil price to become less important than a decrease. Unlike other countries, China is the only country with RTDC after 2000. This may be due to China’s dependence on oil as its average daily net import of oil increased more than 17 times around 2000. Therefore, rising price is unfavorable to China's development, and hence the situation of “plunging stock price following rising oil price” was witnessed after 2000. We also find the following results by the degree of national development, geographical location and whether or not the country is an oil producing country: 1. All the developing countries are neither extreme nor regular dependent before 2000. Some extreme dependence was found after 2000, with the same timing as the rise of BRIC. 2. LTDC is not found for any of the countries in Europe and America before 2000, and RTDC exists in only a few of these countries. The situation was reversed after 2000. 3. Significantly positive regular dependence is found to exist in all the net oil exporting countries after 2000, which means the increase in crude oil price actually can move the stock price index up under normal situation. However, the dependence structure of all net crude oil importing countries is transformed into LTCD from RTDC around 2000. The above results reinforce our earlier findings. In the past, when there was an oil crisis, the crude oil price rises to a high point within an extremely short period of time. But the investors had predicted the result, reducing the importance of the increasing oil price more than that of the decreasing oil price after 2000, and hence leading to the change of the dependence structure.