文章如下,求xdjm帮帮忙,谢谢啦~~~标题:
Price Relations among Hog,
Corn, and
Soybean Meal Futures作者:
Liu, Qingfeng 'Wilson'作者单位:James Madison U来源:
Journal of Futures Markets, May 2005, v. 25, iss. 5, pp. 491-514出版日期:May 2005摘要:This paper examines the
relations among hog,
corn, and
soybean meal futures price series using the Perron (1997) unit root test and autoregressive multivariate cointegration models. Accounting for the significant seasonal factors and time trends, we find the three series are cointegrated with one single cointegrating vector, whose coefficients are comparable to the ratios used by the United States Department of Agriculture (USDA). Ex-post trading simulations that utilize the cointegration results generate significant profits, suggesting that market expectations may not fully incorporate the mean-reverting tendencies as indicated by the cointegration
relations, and that inefficiency exists in these three commodity
futures markets. Results from our ex-ante trading simulations that employ the USDA ratios also provide some evidence in this regard