The Study of the Relationship Between the Forward Prices of Agricultural Products in DCE and the Stock Price of New Hope Group
The paper has made an empirical study of 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, by such econometric methods as ADF-unit root test, extended E-G test and Granger causality test, etc., and presented relevant conclusion as well as suggestions. 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 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.
agricultural futures ADF unit root test co-integration Granger causality test
CHENG Zhe
College of Economics & Management Sichuan Agricultural University Chengdu,611130, China
国际会议
北京
英文
712-715
2011-08-08（万方平台首次上网日期，不代表论文的发表时间）