生物資源暨農學院: 農業經濟學研究所指導教授: 陳政位黃士倫Huang, Shin-LunShin-LunHuang2017-03-062018-06-292017-03-062018-06-292015http://ntur.lib.ntu.edu.tw//handle/246246/275723來自橡膠產業之產品因其功能性而廣泛運用在生活當中，而橡膠產品的主要原料來自天然橡膠與原油之石化原料所形成的合成橡膠，因此國內橡膠生產業者必須面對上述二者的價格波動之影響。本研究探討天然橡膠價格和國際原油價格的波動，分別與臺灣上市橡膠類股股價的關聯性，研究期間為 2010年1月至2014年12月的月資料，研究樣本包括國際天然橡膠價格與三種國際原油價格、以及臺灣上市橡膠類股之股價。研究方法則包括敘述統計分析、單根檢定、共整合分析、以及誤差修正模型進行趨勢、短期與長期的關聯性分析。研究結果有以下發現。首先，從趨勢圖發現，9家橡膠類股中，只有華豐與國際原油及天然橡膠價格無明顯相關趨勢關係。第二，從單根檢定來看，全部變數經過一階差分後均呈現定態。至於在共整合檢定方面，華豐的股價是唯一與國際原油價格與天然橡膠價格不具長期共整合關係的股票，但是所有橡膠類股都呈現正向影響關係。最後，在短期的誤差修正的調整係數的實證結果中發現，除了華豐無調整係數外，其餘的調整系數皆相當顯著，短期下的國際原油價格、天然橡膠價格也會很明顯影響橡膠類股股價，而橡膠類股股價皆以緩慢速度向長期均衡收斂。The products from the rubber industry are extensive usage in life due to their functionality. Nevertheless, the raw materials of rubber products come from both natural rubber and synthetic rubber derived from petrochemical materials of crude oil. As a result, domestic rubber producers have to face the price fluctuation from those mentioned above. The purpose of this study is to investigate relationships among prices of crude oil, rubber, and listed rubber-related stocks from January 2010 to December 2014. The samples include the price of natural rubber and three kinds of prices in crude oil, and listed rubber-related stocks in Taiwan. The methodology applied consists of descriptive statistics, unit root test, cointegration test and error correction model for investigating the trend, the short-term and long-term relationships among these prices. The results found in the study are as follows. First, the price of Hwa Fong Rubber among 9 firms is the only one which did not have significant correlation relationship with prices of crude oil and natural rubber based on the trend chart. Second, the unit root test found that all the prices become stationary through first order difference. Third, the cointegration test reveals that although the price of Hwa Fong Rubber is the only one that did not exist the long-term relationships with those of crude oil and natural rubber, all the stock price series shows positive relationships with them. Finally, the empirical result of the short-term adjustment coefficients in error correction model found that all the adjustment coefficients of stocks are quite significant besides Hwa Fong Rubber. In addition, the prices of crude oil and natural rubber in the short-term can obviously affect the prices of listed rubber-related stocks and these stock prices converge gradually and slowly to the long-run equilibrium.1995957 bytesapplication/pdf論文公開時間: 2019/4/2論文使用權限: 同意有償授權(權利金給回饋學校)原油天然橡膠橡膠類股共整合檢定誤差修正模型crude oilnatural rubberlisted rubber-related stockscointegration testerror correction modelthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/275723/1/ntu-104-P02627012-1.pdf