糧食期貨價格與兩岸股價指數之關聯性分析

Abstract

本研究以2000年至2010年每日芝加哥商品期貨交易所農產品期貨結算價格包括小麥、玉米、大豆、大豆油及糙米等，與台灣證券交易所編製集中交易市場之發行量加權股價指數、證券櫃檯買賣中心編製之櫃檯指數、大陸上海證券交易所編製之上證綜合指數、深圳證券交易所編製之深證成份指數之日資料，樣本數共計2,505筆，先進行單根檢定，並將前開時間序列資料取一階差分轉換為定態數列後進行Granger因果關係檢定。經檢定發現，玉米、大豆、大豆油期貨價格變動與台灣上市櫃股價指數變動間均沒有Granger因果關係。小麥及糙米期貨價格變動則對台灣證券交易所之發行量加權股價指數變動有單向的因果關係。小麥、玉米、大豆、大豆油期貨價格變動與上證綜合指數及深證成份指數變動有雙向的Granger因果關係。上證綜合指數及深證成份指數變動對糙米期貨價格變動有單向的Granger因果關係。在衝擊反應檢定方面，糧食期貨價格上升對台灣及大陸股價指數變動有負向衝擊，但小麥期貨價格上漲對台灣集中交易市場之發行量加權股價指數有正向衝擊；大陸股市之股價指數變動對糧食期貨價格變動有正向衝擊。

This study uses the daily settle price of wheat, corn, soybean, soybean oil, and rough rice listed on The Chicago Board of Trade (CBOT), which was merged into the Chicago Mercantile Exchange (CME) Group on 12 July 2007, and daily stock indexes conducted by Taiwan Stock Exchange Corporation (TWSE), Gre Tai Securities Market (GTSM), Shanghai Stock Exchange (SSE), and Shenzhen Stock Exchange (SZSE) from 2000 to 2010, to see if there is any Granger Causality between the variation of commodity price and the variation of stock indexes. The sample size is 2,505. After test for the unit root in the original level, all of the non-stationary time series data are transformed as its first difference to be stationary. The result of Granger Causality Test shows that there is no Granger causality between the price variation of corn, soybean, soybean oil and Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Gre Tai Securities Market Index (GTSM Index) in Taiwan stock market. Price variation of wheat and rough rice runs Granger causality to TAIEX. Bilateral Granger causality is found between the price variation of wheat, corn, soybean, soybean oil and the variation of SSE Composite Index; and the same phenomenon also exists between the price variation of food futures and the variation of SZSE Component Index. Unilateral Granger causality runs from the variation of SSE Composite Index and SZSE Component Index to the price variation of rough rice. Both positive and negative responses are found in this study. Stock price indices have negative responses to food future prices, except that TAIEX has positive responses to the price variation of wheat. On the other hand, food future prices have positive responses to mainland China’s stock indices.