| Summary: | 碩士 === 國立臺灣大學 === 農業經濟學研究所 === 103 === 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.
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