农产品期货价格与农业上市公司股价的相关性研究——以新希望集团为例  

The Study of the Relationship between Forward Prices of Agricultural Products and Stock Price of Listed Agricultural Companies——A Case of New Hope Group

作　　者：唐曼萍[1] 程哲[1] 

机构地区：[1]四川农业大学经济管理学院,成都611130

出　　处：《软科学》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)

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.

关 键 词：农产品期货 ADF单位根检验 协整关系 格兰杰因果检验 

分 类 号：F323.7[经济管理—产业经济]