Study on the Correlation Between Oil Prices and Stock Prices of LED, and the Automotive Industry

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Title:	Study on the Correlation Between Oil Prices and Stock Prices of LED, and the Automotive Industry
Authors:	Hsieh, Tsung-Yu
Contributors:	財務金融學系碩士在職專班
Keywords:	Oil prices;light emitting diodes (LED);stock prices of the auto industry;Vector Autoregression (VAR) model
Date:	2017
Issue Date:	2017-09-15 02:44:16 (UTC+0)
Publisher:	亞洲大學
Abstract:	Since both oil prices and stock prices of light emitting diodes (LEDs), solar power, and the auto industry are volatile and interconnected, this study adopted the Vector Autoregression (VAR) model, Granger causality test, impulse-response analysis, and a variance decomposition to examine the relationships of the three variables. A total of 150 samples, from 2001 to 2016, were analyzed, and the empirical results indicated: (1) There was, indeed, a correlation among oil prices and stock prices of the LEDs, as well as the auto industry. (2) There was one-way causality between oil prices and stock prices of the auto industry; meanwhile, one-way causality was also observed between oil prices and stock prices of the LED industry. (3) Oil prices had an insignificant impact on the LED industry, while having a quite significant effect on the auto industry.
Appears in Collections:	[Department of Finance] Theses & dissertations

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