摘要
运用ADF单位根检验、扩展的E-G检验和格兰杰因果检验等方法,对大连商品交易所的大豆、豆粕、玉米价格和饲料行业农牧类上市公司的代表——新希望集团股价进行了相关性实证研究。结果发现:大商所主要合约品种豆一、玉米期货价格与新希望股票价格之间存在长期均衡协整和双向格兰杰因果关系,而豆粕和新希望集团股票价格之间只存在协整关系,股票价格影响豆粕期货价格的单向格兰杰因果关系,豆一和玉米的价格发现功能要优于豆粕。
The paper empirically studies the relationship between the prices of soybeans,soybean meal and corns in DCE and the stock price of New Hope Group,the representative of listed agricultural companies in feed industry,with the methods of ADF unit root test,extended E-G test and Granger causality test,etc.The study shows that there is a long-term balanced co-integration and two-way Granger casual relation between the forward prices of dominant futures like soybeans and corns in DCE and the stock price of New Hope Group while between the price of soybean meal futures and the stock price,but there is only a co-integration and one-way Granger causality with stock price affecting the price of soybean meal futures,from which it can be easily concluded that the price discovery ability of soybeans and corns is better than that of soybean meal.
出处
《软科学》
CSSCI
北大核心
2012年第7期86-90,共5页
Soft Science
基金
四川省农村发展研究中心重点项目(CR1103)
