| Summary: | 碩士 === 國立成功大學 === 高階管理碩士在職專班(EMBA) === 101 === Through unit root tests, co-integration tests, VAR and Granger causality tests, this study examines the relationship between the fluctuation of crude oil price and that of the stock price of chemical industry in Taiwan. Using Chung Hwa Chemical Industrial Works, Ltd as the research target, the empirical results show that (1) the three crude oil price indexes, West Texas, Dubai and Brent crude oil price indexes, do not have the co-integration relationship with the stock price of Chung Hwa Chemical Industrial Works, Ltd.; (2) there exists a unidirectional causality between West Texas oil price index, a representative crude oil price index which is generally used by the investors and the stock price of Chung Hwa Chemical Industrial Works, Ltd. meaning West Texas oil price index leads the stock price of Chung Hwa Chemical Industrial Works, Ltd.. However, since the actual sources of the crude oil in Taiwan are unrelated to the West Texas oil price index but actually related to Dubai and Brent crude oil price indexes, and West Texas oil price index is the representative crude oil price index generally used in the capital market, the possible explanation could be that the stock price of Chung Hwa Chemical Industrial Works, Ltd. is mainly affected by the expectation of investors who receive information from the capital market instead of the real side.
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