Study On The Lag Effect Of Stock Price Of Listed Pork Company And Soybean Meal Commodity Futures Price

Pork accounts for the largest proportion of China’s residents’ meat consumption and the highest proportion of China’s CPI index.The change of pork price is related to China’s national economy and people’s livelihood.In the 21 st century,with the rapid development of China’s economy,the income of urban and rural residents is increasing,and the consumption of pork is also increasing.In the past few decades,China’s pork price has been in a relatively stable cycle.However,after the outbreak of African swine fever in mid-2018,the pork price in China’s market began to rise rapidly in a short time.In the follow-up period,the pork price continued to move horizontally at a high level,which was not consistent with the performance of the pork cycle in history,It can even be said to break the pig cycle that has gone through many rounds in the past.It can be seen that 2018 is a significant turning point in China’s pork price.At present,the main pork producers in China are widely distributed in the country’s miniature farmers.For a long time in the past,the free range farmers in China provided more than 90% of the pork supply.In contrast,the pork output of the main pork listed companies in China accounted for less than 10% of the total pork production in China.According to the experience of foreign developed countries,the market share of large-scale pork listed companies should far exceed this amount,reaching about half of the normal.With the continuous fermentation of African swine fever,the pork listed companies with strong technical ability and professional knowledge also begin to occupy more and more market share in the process of pork production,and the listed companies will eventually become the main pork suppliers in China.Large scale listed companies,the implementation of standardized and specialized breeding process,have a huge demand for feed raw materials in the production and operation process,and the demand is stable.The demand side of downstream listed companies is stable and huge,which makes the supply of upstream raw materials expand.In the process of animal husbandry,corn accounts for the largest proportion of feed content.It can be said that when the price of upstream corn changes,all meat production will be affected.Compared with other kinds of livestock,soybean meal accounts for the second largest proportion of live pigs’ feed.In fact,China imports a large number of soybeans from all over the world every year,and the main purpose is to meet the feed demand in the process of pig breeding.Soybean meal is an important part of feed in the process of pig breeding.Compared with other kinds of feed,the change of soybean meal price has a unique impact on the price of pork.The cost of feed raw materials accounts for a large proportion of the operating cost of pork listed companies.The change of upstream soybean meal price has a great impact on the net profit of pork listed companies.Taking advantage of the fact that the price of futures market is higher than that of spot market,and linking soybean futures with spot market,the change of soybean price will affect the operating cost of pork listed companies,and the change of operating cost will directly affect the company’s net profit,and the change of net profit will directly reflect on the stock price.Therefore,we can deduce the possible changes of pork listed stock price from the changes of soybean futures,study and analyze other factors that may affect the stock price of pork listed companies,and determine the impact of soybean meal price changes on the stock price of pork listed companies.Research methods,this paper adopts the construction of autoregressive VAR model for research.In the process of research,select the appropriate data,first carry out the pure random test on the relevant data,select the pure random data that meet the conditions,then carry out the stationarity test on this kind of data,construct the VAR model,get the specific lag,and then carry out the Granger causality test on the variables in the VAR model to analyze the causality between the variables.The uniqueness of this study lies in that the research is in the upstream and downstream of the same industrial chain,but different kinds of futures and stocks.The internal relationship between them is analyzed.The results show that the stock price of pork listed companies has a lag of about eight months relative to the soybean meal main futures index,and the soybean meal main futures index has a certain impact on the stock price of pork listed companies,This is the reason for the change.