我国农产品期货和股票价格联动关系研究
发布时间：2019-06-10 04:09
【摘要】：本文利用协整检验和格兰杰因果检验,研究了我国农产品期货市场和股票市场的关系。实证结果表明,二者存在长期稳定的协整关系,短期内农产品期货价格指数是股票价格指数的原因,而长期内股票价格指数是期货价格指数的原因。本文依据期货市场和股票市场的特点以及市场有效性理论,对这些实证结果作了进一步解释,并提出了相应的对策建议。
[Abstract]:In this paper, the relationship between agricultural futures market and stock market in China is studied by using cointegration test and Granger causality test. The empirical results show that there is a long-term stable co-integration relationship between the two. In the short term, the futures price index of agricultural products is the cause of the stock price index, while the long-term stock price index is the reason of the futures price index. According to the characteristics of futures market and stock market and the theory of market efficiency, this paper further explains these empirical results, and puts forward some corresponding countermeasures and suggestions.
【作者单位】： 中国石油大学经济管理学院;
【基金】：山东省自然科学基金项目(ZR2009HQ009) 中央高校基本科研业务费专项资金资助(09CX04077B) 中国石油大学校科研基金
【分类号】：F224;F724.5;F832.51
，
本文编号：2496163
[Abstract]:In this paper, the relationship between agricultural futures market and stock market in China is studied by using cointegration test and Granger causality test. The empirical results show that there is a long-term stable co-integration relationship between the two. In the short term, the futures price index of agricultural products is the cause of the stock price index, while the long-term stock price index is the reason of the futures price index. According to the characteristics of futures market and stock market and the theory of market efficiency, this paper further explains these empirical results, and puts forward some corresponding countermeasures and suggestions.
【作者单位】： 中国石油大学经济管理学院;
【基金】：山东省自然科学基金项目(ZR2009HQ009) 中央高校基本科研业务费专项资金资助(09CX04077B) 中国石油大学校科研基金
【分类号】：F224;F724.5;F832.51
，
本文编号：2496163
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