菜粕期货与水产养殖行业股价的联动性研究
Research on the Linkage Between Rapeseed Meal Futures and Stock Prices in the Aquaculture Industry
廖开轩 1朱才斌1
作者信息
摘要
菜粕是重要的水产养殖饲料,菜粕价格的变动对水产养殖业的成本会带来较大的影响,进而影响水产品的价格以及相关上市公司的股票价格.本文选取2018年7月1日至2023年7月1日郑州商品交易所的菜粕期货结算价日度数据,以及水产养殖行业股票指数的每日收盘价,建立VAR模型,通过ADF单位根检验、Johansen协整检验、Granger因果检验,研究得出菜粕期货价格对水产养殖行业股票指数存在单向均值溢出效应,对其价格变化起到引导作用.水产养殖企业可以合理利用菜粕期货进行套期保值,规避因价格变动而引发的经营成本风险,提升产业链、供应链应对价格波动的风险防范能力.
Abstract
Rapeseed meal is an important feed for aquaculture.The changes in rapeseed meal prices will have a significant impact on the costs of the aquaculture industry,which in turn affects the prices of aquatic products and the stock prices of related listed companies.This article selects the daily settlement price data of rapeseed meal futures on the Zhengzhou Commodity Exchange from July 1,2018 to July 1,2023,and the daily closing price of the aquaculture industry stock index to establish a VAR model.Through ADF unit root test,Johansen cointegration test,and Granger causality test,find that there is a one-way mean spillover effect of rapeseed meal futures prices on the stock index of the aquaculture industry,which plays a guiding role in its price changes.Aquaculture enterprises can reasonably use rapeseed meal futures for hedging,avoid operating cost risks caused by price changes,and enhance the risk preven-tion ability of industrial and supply chains in response to price fluctuations.
关键词
菜粕期货/水产养殖指数/VAR模型/溢出效应Key words
Rapeseed Meal Futures/Aquaculture Index/VAR Model/Spillover Effect引用本文复制引用
出版年
2024
NETL
NSTL
维普
万方数据