【摘要】：本文利用協(xié)整檢驗(yàn)和格蘭杰因果檢驗(yàn),研究了我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)和股票市場(chǎng)的關(guān)系。實(shí)證結(jié)果表明,二者存在長(zhǎng)期穩(wěn)定的協(xié)整關(guān)系,短期內(nèi)農(nóng)產(chǎn)品期貨價(jià)格指數(shù)是股票價(jià)格指數(shù)的原因,而長(zhǎng)期內(nèi)股票價(jià)格指數(shù)是期貨價(jià)格指數(shù)的原因。本文依據(jù)期貨市場(chǎng)和股票市場(chǎng)的特點(diǎn)以及市場(chǎng)有效性理論,對(duì)這些實(shí)證結(jié)果作了進(jìn)一步解釋,并提出了相應(yīng)的對(duì)策建議。
[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.
【作者單位】： 中國(guó)石油大學(xué)經(jīng)濟(jì)管理學(xué)院;
【基金】：山東省自然科學(xué)基金項(xiàng)目(ZR2009HQ009) 中央高�；究蒲袠I(yè)務(wù)費(fèi)專(zhuān)項(xiàng)資金資助(09CX04077B) 中國(guó)石油大學(xué)校科研基金
【分類(lèi)號(hào)】：F224;F724.5;F832.51
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本文編號(hào)：2496163