IDEAS home Printed from https://ideas.repec.org/a/ags/asagre/117428.html
   My bibliography  Save this article

Dynamic Relation Mechanism between Cotton Future Price and Stock Price of Related Listed Companies

Author

Listed:
  • Liu, Peng

Abstract

The Dynamic relation mechanism between ZCE cotton futures price and related listed company stock price had been studied based on the metastock historical data in January 1st, 2007 to September 1st, 2010,Johansen co-integration analysis, Vector error correction model, Granger causality test and variance decomposition method. The results indicated that: long-term equilibrium relationship existed between ZCE cotton futures price and Xinsai share stock price while which changed in the same tendency and speed in the long-term. Cotton futures price is the main reason for the changing of Xinsai share stock price. The lead-lag relationship in changing course had been confirmed that existed between ZCE cotton futures price and the Xinsai share stock price. Meanwhile, the forward pass mechanism of price changing information had been found only from the ZCE cotton futures market to the stock market while showing asymmetry. Conclusions of the study can be used for cotton and related corporate to hedge business risks by the cotton price changes.

Suggested Citation

  • Liu, Peng, 2011. "Dynamic Relation Mechanism between Cotton Future Price and Stock Price of Related Listed Companies," Asian Agricultural Research, USA-China Science and Culture Media Corporation, vol. 3(05), pages 1-5, May.
    • Handle: RePEc:ags:asagre:117428
    DOI: 10.22004/ag.econ.117428
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/117428/files/Dynamic%20Relation%20Mechanism%20between%20Cotton%20Future%20Price%20and%20Stock%20Price%20of%20Related%20Listed%20Companies.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.117428?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Agribusiness;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:asagre:117428. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.