原油波動率指數變動率與原油期貨報酬率之關聯性

本研究分析了自2007年5月11日至2023年11月15日期間，原油市場波動率指數與原油期貨報酬率之間的相互關係。實證結果顯示，原油波動率指數的變動率與原油期貨報酬率呈現顯著的負向關係。透過因果關係檢定及分析衝擊反應函數圖形，本文發現當原油波動率指數變動率發生波動時，會顯著地影響原油期貨報酬率，因此本文實證結果支持回饋效果假說(Feedback Effect Hypothesis)。在納入控制變數並經過穩健性檢驗後，這些結果仍然保持不變。有趣的是，本研究發現當石油輸出國組織(OPEC)宣告減產或增產協議時，會產生更為顯著的遞延性回饋效果。

This study reports a negative relationship between the volatility index of the crude oil market and the returns of crude oil futures from May 11, 2007, to November 15, 2023. This result was corroborated in causality tests and an analysis of impulse response function graphs. This finding supports the Feedback Effect Hypothesis. This result held even after control variables were included and robustness checks were conducted. Notably, the study identified a more pronounced deferred feedback effect following announcements by the Organization of the Petroleum Exporting Countries on changes in production quotas.