| dc.contributor.advisor | 張元晨 | zh_TW |
| dc.contributor.advisor | Chang, Yuanchen | en_US |
| dc.contributor.author (Authors) | 陳俊源 | zh_TW |
| dc.contributor.author (Authors) | Chen, Jiun-Yuan | en_US |
| dc.creator (作者) | 陳俊源 | zh_TW |
| dc.creator (作者) | Chen, Jiun-Yuan | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:16:13 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:16:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:16:13 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093357007 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34053 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 93357007 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 國際能源機構(IEA)每個月的石油報告已經變成預測世界石油供給與需求一個很重要的資源。因此，我們蒐集從1990年10月到2005年12月中國際能源機構所發佈的179次宣告，利用事件研究法來衡量國際能源機構對石油相關市場的影響性。 實證結果顯示，國際能源機構的石油報告的確對石油相關市場傳達重要的資訊；而國際能源機構報告的影響效果似乎會隨著國家的不同而有所不同；在當中，石油的生產和消費量多寡、石油的密集度和油價中稅占的比例都扮演重要的角色；此外，在國際能源機構的報告中，關於預測石油需求變化這方面似乎特別被大家所重視。 | zh_TW |
| dc.description.abstract (摘要) | This study examines the impact of International Energy Agency`s Oil Market Reports on oil-related prices. The IEA reports, published monthly in Paris, have become the primary source of world oil supply and demand forecasts. We collect 179 announcements that released by IEA over the period October 1990 to December 2005. We analyze the effects of these reports on three oil-related markets, IPE Brent Crude futures, oil industry indices and stock prices of oil companies in six countries. Moreover, we separate the effects of IEA’s forecast changes on oil supply from non-OPEC countries and oil demand from North America and China in IEA’s report. The results confirm that IEA’s reports carry important information source for oil-related markets because more than one half of our sample companies have abnormal returns around the announcement date of IEA’s reports, and we explore these prices respond negatively to the release of IEA’s reports. We also find that the actively traded IPE Brent Crude futures contracts are affected by IEA’s reports, particularly for the change of demand in North America. Forecast changes in IEA’s reports regarding supply in non-OPEC countries, demand in North America and China show that most countries are affected by the changes in these reports. The evidences also show that British and Norwegian oil stock markets react more strongly to the change of oil demand in North America and China. Moreover, we find that participants in the oil market put more emphasis on demand changes reported by IEA, especially for China demand. And we provides empirical evidence that these companies are concerned more about the related releases of decreased demand in North America and increased demand in China. Finally, cross-sectional analysis of cumulative abnormal returns suggests that the reaction of American and Norwegian companies to IEA’s announcements is stronger than other countries, and the change of demand in North America and China and the size variable for individual company contribute to the changes of abnormal returns around IEA’s reports. | en_US |
| dc.description.tableofcontents | List of Figures VList of Tables VIAbstract VIIIChapter1. Introduction 11.1 Motivations of the study 11.2 Objectives of the study 51.3 Chapter outline 6Chapter2. Previous Studies of Economic Announcement Impact and the Accuracy of IEA’s Reports 72.1 The impact of economic announcements 72.2 The empirical literature regarding the accuracy of IEA 8Chapter3. Data and IEA’s Reports 103.1 Description of IEA’s report 103.2 Oil price data 15Chapter4. Methodology 164.1 Event study methodology 164.1.1 The mean adjusted model 164.1.2 The market model 184.2 Cross-sectional regressions 20Chapter5. Empirical Results 21 5.1 Event study analysis 215.1.1 Complete Samples 215.1.2 Oil Supply Change in Non-OPEC Countries 235.1.3 Oil Demand Change in North America 265.1.4 Oil Demand Change in China 285.2. Cross-sectional analysis 35Chapter6. Summary and Conclusions 416.1. Summary of this study 416.2. Suggestions for future research 42Appendix A. Largest Positive Returns from WTI during the 1993-2005 Period 44Appendix B. Largest Negative Returns from WTI during the 1993-2005 Period 45Appendix C. List of the Companies for Japan, Canada, France, the United Kingdom, the United States and Norway 46Bibliography 48 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093357007 | en_US |
| dc.subject (關鍵詞) | 石油 | zh_TW |
| dc.subject (關鍵詞) | 國際能源機構 | zh_TW |
| dc.subject (關鍵詞) | 石油供給與需求 | zh_TW |
| dc.subject (關鍵詞) | 事件研究法 | zh_TW |
| dc.subject (關鍵詞) | oil | en_US |
| dc.subject (關鍵詞) | IEA | en_US |
| dc.subject (關鍵詞) | oil supply and demand | en_US |
| dc.subject (關鍵詞) | event study | en_US |
| dc.subject (關鍵詞) | Oil Market Report | en_US |
| dc.subject (關鍵詞) | Non-OPEC | en_US |
| dc.subject (關鍵詞) | Brent Crude | en_US |
| dc.title (題名) | The Impact of IEA Reports on Oil-Related Markets | zh_TW |
| dc.type (資料類型) | thesis | en |
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