| 期货价格变化与相关股票价格变化的协整关系 |
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| 引用本文： | 陈冬春,罗守贵.期货价格变化与相关股票价格变化的协整关系[J].科学技术与工程,2008,8(24). |
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| 作者姓名： | 陈冬春 罗守贵 |
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| 作者单位： | 上海交通大学安泰经济与管理学院,上海,200030 |
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| 摘 要： | 股票价格变动应该是与商品的未来价格的变动具有长期联系。针对期铜价格和以铜作为主营业务的上市公司的股票价格数据，利用时间序列计量经济学理论对这种联系进行了初步的检验和研究。研究证实了两者价格变化间的长期关系。观察铜期货价格变动有助于对铜相关的股票价格进行定价，也有助于开发相应的投资策略。
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| 关 键 词： | 铜期货交易 股票价格 协整理论 误差修正模型 |
Research on Cointegration between Changes in Copper Future Price and Changes in Relevant Stock Price:Based on Data from Shanghai Future Exchange |
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| CHEN Dong-chun,LUO Shou-gui.Research on Cointegration between Changes in Copper Future Price and Changes in Relevant Stock Price:Based on Data from Shanghai Future Exchange[J].Science Technology and Engineering,2008,8(24). |
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| Authors: | CHEN Dong-chun LUO Shou-gui |
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| Institution: | CHEN Dong-chun,LUO Shou-gui(Antai College of Economics , Management,Shanghai Jiaotong University,Shanghai 200030,P.R.China) |
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| Abstract: | In long term,the relation between copper future price and the relevant stock price should exist.this relation based on copper future price from and Shanghai Future Exchange and stock price of the listed companies is examined whose operation is mining,manufacturing copper.The long term relation is proved by time series methods.The findings will help pricing the stocks and developing trading strategies. |
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| Keywords: | copper future trade stock price cointegration error correction model |
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