郑州白糖期货价格对南宁糖业股价的动态影响机制

Mechanisms of dynamic impact of sugar futures price in Zhengzhou commodity exchange on Nanning sugar stock price

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。

By the cointegration Nanning sugar stock price was method, the influence of sugar investigated based on the data shows that there is co-integration relation between the Nanning futures price in Zhengzhou commodity exchange on the from April 24, 2007 to December 29, 2008. The result 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 sugar stock price and the sugar futures price are mainly influenced by themselves. Conclusions： 1）sugar futures market has hedging and price discovery role; 2）the two functions of sugar futures market, hedging and price discovery, are interacted with characteristics of time delay. The suggestion is that China should speed up the development and improvement of the white sugar futures market building.