The Determinants of Polyethylene Returns－The Roles of Crude Oil, Market Index and Polyethylene Price
| Autor: | LEE, MENG-HUA, 李孟樺 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 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. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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