国内棉花期货价格与相关上市公司股价的动态关系研究  

Dynamic Relation Mechanism Between Cotton Futures Price and Related Listed Companies Stock Price

作　　者：刘鹏[1] 

机构地区：[1]南京农业大学食品科技学院,江苏南京210095

出　　处：《安徽农业科学》2011年第22期13785-13788,共4页Journal of Anhui Agricultural Sciences

基　　金：国家社科基金项目(06BTQ017)资助

摘　　要：以郑商所棉花期货价格和新赛股份股价为研究对象,选取2007年1月1日～2010年9月1日的日成交资料,采用Johansen协整分析、向量误差修正模型、Granger因果检验、方差分解等方法研究在不同市场结构下棉花期货市场和股票市场相关上市品种的动态关联关系。结果表明:棉花上市公司股价与郑商所棉花期货价格间存在长期的稳定关系,郑商所棉花期货价格是棉花公司股价变化的主要原因。棉花期货价格和棉花上市公司股价变化趋势间存在一定的领先滞后效应,价格变化信息由郑商所棉花期货市场向棉花股票市场正向传递,呈现不对称性。研究结果可以用于棉花企业对冲由于棉花价格变动带来的经营风险。The Dynamic relation mechanism between ZCE cotton futures price and related listed company stock price had been studied based on the metastock historical data in January 1st,2007 to September 1st,2010,Johansen co integration analysis,Vector error correction model,Granger causality test and variance decomposition method.The results indicated that：long-term equilibrium relationship existed between ZCE cotton futures price and Xinsai share stock price while which changed in the same tendency and speed in the long-term.Cotton futures price is the main reason for the changing of Xinsai share stock price.The lead-lag relationship in changing course had been confirmed that existed between ZCE cotton futures price and the Xinsai share stock price.Meanwhile,the forward pass mechanism of price changing information had been found only from the ZCE cotton futures market to the stock market while showing asymmetry.Conclusions of the study can be used for cotton and related corporate to hedge business risks by the cotton price changes.

关 键 词：棉花期货 上市公司股价 关联关系 误差修正模型 GRANGER因果检验 

分 类 号：F323.7[经济管理—产业经济]