石油對於現代人的重要性不言而喻，從上個世紀幾次石油危機可以看出原油價格波動對全世界造成的影響有多大，不管是已開發國家或是新興國家對於石油的需求都十分可觀，本文在此大前提下，欲探討金融海嘯後十年間原油價格波動與兩岸三地不同股市間的互動關係，給予股市投資人一個參考的依據。
本文利用時間序列模型對杜拜原油價格、臺灣加權股價指數、香港恆生指數、上海綜合指數以及深圳綜合指數等五個變數做分析。在VAR模型中可以發現落後期的原油價格對上海綜合指數以及深圳綜合指數有影響。Granger因果檢定並沒有發現原油價格領先其餘四股價指數的現象，但是臺灣加權股價指數和香港恆生指數卻有領先原油價格的現象。衝擊反應分析的結果顯示油價衝擊對四個股價指數的影響皆為短期效果。而從預測誤差變異數分解的結果可以看到，所有變數所佔最大比例的部分都是其自身，而原油價格預測誤差變異數對四個股價指數的解釋力皆不足1%，但是隨著期數往後有遞增的現象。此外，透過共整合檢定發現杜拜原油價格、臺灣加權股價指數、香港恆生指數、上海綜合指數以及深圳綜合指數間不存在共整合現象，也就是說他們彼此間並無存在長期均衡關係。

The importance of oil to people is self-evident nowadays. It can be seen how much the fluctuations of crude oil price influence the world from the several oil crises happened in the last century. The demand for oil is substantial both in developed and emerging countries. On the premise, this article intends to explore the interactive relationship between crude oil price fluctuations and the Asian stock markets in the ten years after the financial crisis. Investors who would like to invest in those stocks markets can also receive a basis for reference from this article.
This paper uses time series models to analyze five variables including Dubai crude oil price, TAIEX, HSI (Hang Seng Index), SSEC (Shanghai Stock Exchange Composite Index) and SZSE (Shenzhen Stock Exchange Composite Index). It can be found in the VAR model that the crude oil price in the backward period had an impact on SSEC and SZSE. Granger causality test did not find that the price of crude oil was leading the other four stock price indexes, but the price of crude oil was Granger caused by TAIEX and HSI. The results of the impulse response analysis show that the impact of oil price shocks on the four stock price indexes were short-term effects. From the results of the forecast error variance decomposition analysis, it can be seen that the largest proportion of all variables is its own, while the crude oil price forecast error variance decomposition has an explanatory power of less than 1% for the four stock price indexes. The number increased gradually when traced back further. In addition, through the cointegration test, it was found that there is no cointegration between Dubai crude oil prices, TAIEX, HSI, SSEC and SZSE, which means that they did not have a long-term equilibrium relationship with each other.

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