摘要
选取沪深股市市值排名靠前的7家畜牧业上市公司股价和生猪、玉米、豆粕期货价格数据,运用Johansen协整检验、格兰杰因果关系检验和脉冲响应模型,分析了农产品期货价格与畜牧业上市公司股价间的相关性。研究发现,3种农产品期货价格与7家畜牧业上市公司股价之间均不存在长期协整关系。但从短期来看:生猪期货与温氏股份之间存在双向因果关系;生猪期货对罗牛山股价存在短期影响;玉米期货对牧原股份、巨星农牧存在短期影响;豆粕期货对牧原股份、巨星农牧存在短期影响。生猪、玉米、豆粕3种农产品期货价格与畜牧业上市公司股价之间存在短期影响,但无长期影响。基于此,提出了政府加强引导、畜牧业上市企业依据市场信号及时调整决策等建议。
Due to the characteristics of supply and demand instability and seasonal production of agricultural commodities,it leads the price volatility in the futures market.Its risks directly affect the future trends of agricultural futures prices and stock prices of listed companies in the animal husbandry.To explore the relationship between agricultural futures prices and stock prices of listed companies in animal husbandry,this paper examines the dependence between stock prices of seven leading listed companies in animal husbandry and three agricultural futures prices(live hogs,corn and soybean meal).We employ Johansen cointegration,Granger causality tests,and impulse response analysis to investigate the relationship between agricultural futures prices and stock prices of listed companies in animal husbandry.The findings reveal that there is no long-term cointegration relationship among them.However,in the short term,there is a bidirectional causality between live hog and Wen shares;the live hog has a short-term impact on Luoniushan stock price;the corn has a short-term impact on Muyuan shares and Juxing Agriculture and Animal Husbandry's stock price;Muyuan shares have a short-term impact on soybean meal;and soybean meal has a short-term impact on Juxing stock price.It can be concluded that there is a short-term impact between stock prices of listed companies in the animal husbandry and three agricultural futures prices,but there is no long-term impact.This paper could provide investment references for investors.Decision-makers of listed companies in the livestock industry can arrange production plans to reduce operational risks based on agricultural futures prices signals.The government strengthens relevant policy support,actively guides the mutually beneficial development of both markets.
作者
郭鹏
詹昌玉
GUO Peng;ZHAN Changyu(School of Economics and Trade,Henan University of Technology,Zhengzhou 450001,China)
出处
《河南工业大学学报（社会科学版）》
2023年第6期28-36,共9页
Journal of Henan University of Technology:Social Science Edition
基金
国家社会科学基金青年项目(21CGJ021)
河南省科技厅软科学项目(232400411104)
河南工业大学青年骨干教师资助(21421216)项目。
关键词
农产品期货
畜牧业上市公司
协整关系
因果关系
agricultural futures
listed companies in animal husbandry
cointegration relationship
causality
