The influence of grain futures market on stock price fluctuation of agricultural listed companies

被引：1

作者：

Zhang, Lulu ^{[1
]}

Shi, Qi ^{[2
]}

Zhou, Ning ^{[2
]}

机构：

[1] Nanjing Univ Finance & Econ, Inst Food & Strateg Reserv, Nanjing 210023, Jiangsu, Peoples R China

[2] Nanjing Univ Finance & Econ, Sch Econ, Nanjing 210023, Jiangsu, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2024年 / 59卷

关键词：

Grain futures market; Stock price fluctuation of agricultural listed; companies; Granger test; Cointegration test; Impulse response;

D O I：

10.1016/j.frl.2023.104795

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：8

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