软科学
軟科學
연과학
Soft Science
2012年
7期
86~90
,共null页
农产品期货 ADF单位根检验 协整关系 格兰杰因果检验
農產品期貨 ADF單位根檢驗 協整關繫 格蘭傑因果檢驗
농산품기화 ADF단위근검험 협정관계 격란걸인과검험
agricultural futures; ADF unit root test; co-integration; Granger causality test
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。
運用ADF單位根檢驗、擴展的E-G檢驗和格蘭傑因果檢驗等方法,對大連商品交易所的大豆、豆粕、玉米價格和飼料行業農牧類上市公司的代錶——新希望集糰股價進行瞭相關性實證研究。結果髮現：大商所主要閤約品種豆一、玉米期貨價格與新希望股票價格之間存在長期均衡協整和雙嚮格蘭傑因果關繫,而豆粕和新希望集糰股票價格之間隻存在協整關繫,股票價格影響豆粕期貨價格的單嚮格蘭傑因果關繫,豆一和玉米的價格髮現功能要優于豆粕。
운용ADF단위근검험、확전적E-G검험화격란걸인과검험등방법,대대련상품교역소적대두、두박、옥미개격화사료행업농목류상시공사적대표——신희망집단고개진행료상관성실증연구。결과발현：대상소주요합약품충두일、옥미기화개격여신희망고표개격지간존재장기균형협정화쌍향격란걸인과관계,이두박화신희망집단고표개격지간지존재협정관계,고표개격영향두박기화개격적단향격란걸인과관계,두일화옥미적개격발현공능요우우두박。
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.
