The influence of grain futures market on stock price fluctuation of agricultural listed companies
The influence of grain futures market on stock price fluctuation of agricultural listed companies
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DOI：
10.1016/j.frl.2023.104795
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发表时间：
2023-11
影响因子：
10.4
通讯作者：
Lulu Zhang;Qi Shi;Ning Zhou
中科院分区：
文献类型：
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作者：
Lulu Zhang;Qi Shi;Ning Zhou
本文基于2019年6月13日至2023年9月1日的数据，分析了粮食期货市场对农业上市公司股价波动的影响。研究结果表明，短期内粮食期货综合价格指数与农业上市公司综合股价指数互为格兰杰原因。协整检验表明，两者之间存在长期均衡关系。在此基础上，构建了脉冲响应分析的矢量误差修正模型，进一步验证了两者之间的相关性。
Based on the data from June 13, 2019 to September 1, 2023, this paper analyzes the impact of the grain futures market on the stock price volatility of listed agricultural companies. The results show that the composite price index of grain futures and the composite stock price index of listed agricultural companies are granger reasons for each other in the short term. The cointegration test shows that there is a long-term equilibrium relationship between them. Based on this, a vector error correction model is constructed for impulse response analysis, and the correlation between the two is further verified.