| 郑州白糖期货价格对南宁糖业股价的动态影响机制 |
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| 引用本文： | 黄飞雪,寇玲,侯铁珊.郑州白糖期货价格对南宁糖业股价的动态影响机制[J].中国农业大学学报,2009,14(5). |
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| 作者姓名： | 黄飞雪 寇玲 侯铁珊 |
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| 作者单位： | 大连理工大学,经济系,辽宁,大连,116024 |
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| 基金项目： | 辽宁省社会科学联合会基金(2008lslktjjx-65); 大连理工大学人文社会科学研究基金(DUTHS2007321) |
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| 摘 要： | 运用协整一体化方法,截取2007-04-05-2008-12-29南宁糖业股价和郑州白糖连续期货价格的日收盘价数据,研究郑州白糖期货价格对南宁糖业股价的动态影响机制。结果显示:南宁糖业股价与郑州白糖期货价格之间存在协整关系;郑州白糖期货价格是南宁糖业股价的Granger原因,但南宁糖业股价不是郑州白糖期货价格的Granger原因;短期,南宁糖业股价与郑州白糖期货价格变化都主要受自身影响。研究结论如下:1)在一定程度上,郑州白糖期货市场对白糖类股票市场具备套期保值和价格发现功能;2)郑州白糖期货市场套期保值与价格发现两大功能的发挥具有一定的时滞性。建议加快发展和完善中国白糖期货市场的制度建设,通过金融市场的发展加速解决中国三农问题。
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| 关 键 词： | 郑州白糖期货价格 南宁糖业股票价格 协整 VEC模型 |
Mechanisms of dynamic impact of sugar futures price in Zhengzhou commodity exchange on Nanning sugar stock price |
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| HUANG Fei-xue,KOU Ling,HOU Tie-shan.Mechanisms of dynamic impact of sugar futures price in Zhengzhou commodity exchange on Nanning sugar stock price[J].Journal of China Agricultural University,2009,14(5). |
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| Authors: | HUANG Fei-xue KOU Ling HOU Tie-shan |
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| Institution: | HUANG Fei-xue,KOU Ling,HOU Tie-shan(Department of Economics,Dalian University of Technology,Dalian 116024,China) |
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| Abstract: | By the cointegration method,the influence of sugar futures price in Zhengzhou commodity exchange on the Nanning sugar stock price was investigated based on the data from April 24,2007 to December 29,2008.The result shows that there is co-integration relation between the Nanning sugar stock price and the sugar futures price;the sugar futures price is Granger causes of the Nanning sugar stock price,but the Nanning sugar stock price is not Granger causes of sugar futures price;and in the short term,the Nanning... |
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| Keywords: | Zhengzhou sugar futures price Nanning sugar stock price cointegration vector error correction model |
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