The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price
碩士 === 國立高雄應用科技大學 === 國際企業系碩士在職專班 === 105 === In recent years, Polyethylene production increased year by year in Taiwan. However, the production capacity can not meet the market demand, as it largely depends on imports of polyethylene. As noted, polyethylene prices and international crude oil and up...
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ndltd-TW-105KUAS12140172019-05-15T23:32:19Z http://ndltd.ncl.edu.tw/handle/gxh575 The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price 影響聚乙烯股價報酬率因素之探討:原油、台股大盤指數、聚乙烯進口價格扮演之角色 LEE, MENG-HUA 李孟樺 碩士 國立高雄應用科技大學 國際企業系碩士在職專班 105 In recent years, Polyethylene production increased year by year in Taiwan. However, the production capacity can not meet the market demand, as it largely depends on imports of polyethylene. As noted, polyethylene prices and international crude oil and upstream raw material prices share the same trend. Thus, this research attempts to employ variables such as crude oil prices, the Taiwan market index and imports price of polyethylene to determine the price dynamics of Polyethylene using data running from 2007/06/01 to 2017/01/11. The method of ADF is used to test whether the variables are Stationary and then the CHOW TEST, ARMA-LM TEST and GARCH model are used to determine the structural change, and finally run the regression model to explore the impacts of the crude oil price and import prices of polyethylene and market index on the Polyethylene Returns. The results show that the impact of crude oil fluctuation on APC and FPC returns is not significant while the market index, and polyethylene import prices are not significant determinants of polyethylene returns. CHIOU-WEI, SONG-ZAN 邱魏頌正 2017 學位論文 ; thesis 48 zh-TW |
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碩士 === 國立高雄應用科技大學 === 國際企業系碩士在職專班 === 105 === In recent years, Polyethylene production increased year by year in Taiwan. However, the production capacity can not meet the market demand, as it largely depends on imports of polyethylene. As noted, polyethylene prices and international crude oil and upstream raw material prices share the same trend. Thus, this research attempts to employ variables such as crude oil prices, the Taiwan market index and imports price of polyethylene to determine the price dynamics of Polyethylene using data running from 2007/06/01 to 2017/01/11. The method of ADF is used to test whether the variables are Stationary and then the CHOW TEST, ARMA-LM TEST and GARCH model are used to determine the structural change, and finally run the regression model to explore the impacts of the crude oil price and import prices of polyethylene and market index on the Polyethylene Returns. The results show that the impact of crude oil fluctuation on APC and FPC returns is not significant while the market index, and polyethylene import prices are not significant determinants of polyethylene returns.
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author2 |
CHIOU-WEI, SONG-ZAN |
author_facet |
CHIOU-WEI, SONG-ZAN LEE, MENG-HUA 李孟樺 |
author |
LEE, MENG-HUA 李孟樺 |
spellingShingle |
LEE, MENG-HUA 李孟樺 The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
author_sort |
LEE, MENG-HUA |
title |
The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
title_short |
The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
title_full |
The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
title_fullStr |
The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
title_full_unstemmed |
The Determinants of Polyethylene Returns-The Roles of Crude Oil, Market Index and Polyethylene Price |
title_sort |
determinants of polyethylene returns-the roles of crude oil, market index and polyethylene price |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/gxh575 |
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