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研究生： 陳俊源
Chen, Jiun-Yuan
論文名稱： The Impact of IEA Reports on Oil-Related Markets
指導教授： 張元晨
Chang, Yuanchen
學位類別： 碩士
Master
系所名稱： 商學院 - 財務管理學系
Department of Finance
論文出版年： 2006
畢業學年度： 94
語文別： 英文
論文頁數： 59
中文關鍵詞： 石油 、國際能源機構 、石油供給與需求 、事件研究法
外文關鍵詞： IEA, oil supply and demand, Oil Market Report, Non-OPEC, Brent Crude
相關次數： 點閱：100  下載：73 
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    • 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。

    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.

    List of Figures V
    List of Tables VI
    Abstract VIII
    Chapter1. Introduction 1
    1.1 Motivations of the study 1
    1.2 Objectives of the study 5
    1.3 Chapter outline 6
    Chapter2. Previous Studies of Economic Announcement Impact and the Accuracy of IEA’s Reports 7
    2.1 The impact of economic announcements 7
    2.2 The empirical literature regarding the accuracy of IEA 8
    Chapter3. Data and IEA’s Reports 10
    3.1 Description of IEA’s report 10
    3.2 Oil price data 15
    Chapter4. Methodology 16
    4.1 Event study methodology 16
    4.1.1 The mean adjusted model 16
    4.1.2 The market model 18
    4.2 Cross-sectional regressions 20
    Chapter5. Empirical Results 21
    5.1 Event study analysis 21
    5.1.1 Complete Samples 21
    5.1.2 Oil Supply Change in Non-OPEC Countries 23
    5.1.3 Oil Demand Change in North America 26
    5.1.4 Oil Demand Change in China 28
    5.2. Cross-sectional analysis 35
    Chapter6. Summary and Conclusions 41
    6.1. Summary of this study 41
    6.2. Suggestions for future research 42
    Appendix A. Largest Positive Returns from WTI during the 1993-2005 Period 44
    Appendix B. Largest Negative Returns from WTI during the 1993-2005 Period 45
    Appendix C. List of the Companies for Japan, Canada, France, the United Kingdom, the United States and Norway 46
    Bibliography 48

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