本文利用分量迴歸因果關係之研究方法來探討石油價格與股價指數之間的因果關係，我們總共用9個國家28.5年的月數據資料來做為研究標的。本文主要發現如下，在較多情況下股市報酬率會領先石油市場報酬率，這個結果與大部分過去的研究結果相反，此說明股市走勢仍然是石油消費與價格變化一個很重要的指標。其次，石油市場報酬率只在少部分情況下領先股市報酬率，因此我們推論石油市場價格之變動只是股市變動的因素之一，對股市的影響有限。最後，在顯著的情況下，無論股市領先石油市場或石油市場領先股市，大部分均發生在報酬分量兩端區域。

The paper explores the causal relationships between stock indexes and oil prices using the causality analysis of quantile regression. We employ nine countries’ monthly data over the span of 28.5 years as the research subject. The main findings are as follows. First,on many situations stock returns lead the return of oil price, which is different from mostly past studies and means that the trend of stock markets is an important sign for the oil consumption and price changes of oil. Secondly, the return of oil market leads the return of stock market on few situations. We infer that the change of oil price just one of factors for influencing the fluctuation of stock markets and its impact is limited. Finally, we find that mostly of significant situations happen on two extreme areas of return quantile.