Research On The Risk Spillover Effect Of Corn Futures On Pig Industry Stock Price Index

Pork is the most important food in everyday life.Its price fluctuations greatly affect the living expenses of Chinese families,and one of the important factors affecting pork price fluctuations is the cost of feed costs,25.Corn occupation pig breeding feed costs 25 % Or so,due to the characteristics of corn itself,rich in carbohydrates,plus high price and low price,corn as the replacement of raw pig breeding feed is relatively small;and corn spot prices tend to be closely related to corn futures,so corn The price fluctuations of futures will drive the fluctuations of pig breeding feed costs,affect the changes in pork prices,which in turn affect the profits of pig breeding enterprises,which leads to the affected stock price fluctuations;so the corn futures price volatility affects pig breeding enterprises Stock price.Therefore,the impact of researching corn futures on the stock price index of pig industry has helped the scientific control of raw pig breeding enterprises,the futures,the participants in the stock market,and there are reference value when investing,but also help the authorities to strengthen supervision It has a certain reference role in maintaining the stability development of capital markets.Harmo(1990)first proposed the concept of risk spillover effects,and then a large number of domestic and foreign scholars used econometric models such as VAR and GARCH to study the risk spillover relationship between two different markets,and found that the same market between different countries,such as The stock market and different markets within a country,such as the agricultural futures market and the stock market,all have different degrees of risk overflow.Based on this,based on the theory of risk spillover effects,this article selects the daily closing price data of corn futures and the pig industry stock price index from January 6,2017 to February 5,2021,and establishes models such as VAR and GARCH,Empirical analysis of the impact of futures on the stock price index of pig industry companies.The first chapter of this article describes the background and significance of the research,as well as the main research content,methods,technical routes,innovations and deficiencies.The second chapter analyzes the development status of corn futures and the pig industry market,laying a background foundation for subsequent empirical research and analysis.The third chapter expounds the concept and principle of risk spillover,the pricing theory of stocks and futures,and introduces the transmission channel of futures prices to stock prices in detail,laying a theoretical foundation for follow-up empirical research.The fourth chapter is the empirical part.It first elaborates on the selection and processing of data,and then proves the basic conclusion that there is a risk spillover effect between the two through descriptive statistical analysis,stationarity test,cointegration test,and Granger causality test.The fifth chapter is model modification and testing.VAR and GARCH(1,1)models are established to test the mean spillover effect of the return rate of the sample sequence.On this basis,the BEKK-GARCH(1,1)model pair is constructed.The volatility spillover effect between the corn futures and the pig industry stock market is tested,and finally,it is concluded that corn futures has a negative risk spillover effect on the pig industry stock price.Chapter VI summarizes the research results and puts forward corresponding suggestions.Through this paper,the price of corn futures has a significant overflow effect on the pig industry's share price index,and the risk overflow direction is negatively correlated,and the impact is enhanced from the first phase,and the second phase reaches the peak to weaken,to the third phase The end weakened to zero.Therefore,the raw pig breeding enterprises in corn planting enterprises can use corn futures to reduce price risk management,minimize corporate losses,and corn futures prices are easily affected by policy,and government departments should strengthen supervision of futures markets,improve market transparency,and reduce market transparency,reduce market transparency,decrease The information is not symmetrical to the market,avoiding the adverse effects of large fluctuations in corn futures prices to raw pig breeding enterprises.