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The influence of grain futures market on stock price fluctuation of agricultural listed companies

Author

Listed:
  • Zhang, Lulu
  • Shi, Qi
  • Zhou, Ning

Abstract

Based on the data from June 13, 2019 to September 1, 2023, this paper analyzes the impact of the grain futures market on the stock price volatility of listed agricultural companies. The results show that the composite price index of grain futures and the composite stock price index of listed agricultural companies are granger reasons for each other in the short term. The cointegration test shows that there is a long-term equilibrium relationship between them. Based on this, a vector error correction model is constructed for impulse response analysis, and the correlation between the two is further verified.

Suggested Citation

  • Zhang, Lulu & Shi, Qi & Zhou, Ning, 2024. "The influence of grain futures market on stock price fluctuation of agricultural listed companies," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011674
    DOI: 10.1016/j.frl.2023.104795
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    References listed on IDEAS

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