A Study of the Interaction between Agricultural Future Market and Stock Market--An Empirical Analysis Based on a Multi VAR-GARCH(1,1)-BEKK Model
KOU Ming-ting 1, 2, LU Xin-sheng 1, CHEN Kai-hua 3
(1.College of Economics and Management, Northwest A&F University, Yangling 712100, China|2.College of Business Shanxi, Datong University, Datong 037009, China|3.The Institute of Scientific Policy and Management Science，Chinese Academy ofSciences，Beijing 100190, China)
Abstract By constructing the agricultural futures composite price index and the stock composite price index of related listed companies, applying the progressive quantitative analysis framework comprised of co-integration, Granger test and MGARCH model, the authors made an empirical research and profound analysis of the interactive relationship between the two kinds of market during the period of 2005-2010. The research finds that there is a strong relevancy and a long-term equilibrium interaction between agricultural futures market and related stock market. The deviation of the short--term price in agricultural futures market from the equilibrium price has prominent pulling effect on related stock price. In addition, the empirical analysis also shows that there is a unidirectional volatility spillover effect from futures market to stock market in the two kinds of market
KOU Meng-Ting,LEI Xin-Sheng-,CHEN Kai-Hua-. A Study of the Interaction between Agricultural Future Market and Stock Market--An Empirical Analysis Based on a Multi VAR-GARCH(1,1)-BEKK Model. Economic Survey, 2011, 28(3): 0123.
2011, Vol. 28 
