摘要
从 2021年下半年至 2022年初，国际期货市场中的咖啡期货合约的价格一直保持增长
趋势并达到了近年来的新高。此轮咖啡期货价格大幅上涨的原因是极端天气变化引起的对
当前供需状况变化的预期，而咖啡期货价格的变化也会影响未来的国际咖啡市场供需状
况。国际咖啡市场供需状况的变化关系到咖啡产业相关上市企业的生产经营，而咖啡产业
相关上市企业的生产经营状况可以通过这些公司的股票价格进行反映。
通过以咖啡产业链为切入点，本文选取了在咖啡产业链上分属上下游关系的纳斯达克
上市咖啡企业作为与咖啡期货相关企业的代表进行研究。本文首先以商品期货定价理论、
奥尔森模型等为理论基础，将咖啡与产业链上、中和下游公司的关系进行了区分。其次，
通过梳理出现货价格的变动和交易行为这两个主要因素，对咖啡期货价格对相关上市企业
股价影响的作用机制进行了理论分析，提出了咖啡期货价格对相关上市企业股价影响的假
设。最后，通过以 2011至 2021年 ICE Futures US的 C型咖啡期货连续合约的每日收盘价
和纳斯达克的上市咖啡企业股票每日收盘价为数据来源，使用 VAR模型、格兰杰因果检
验、脉冲响应分析和方差分解等分析方法，实证分析了咖啡期货价格对相关上市咖啡企业
股票价格的影响。根据实证分析的结果发现处在咖啡产业链中游的上市咖啡企业其股票价
格受咖啡期货合约价格的影响较咖啡产业链下游的上市咖啡企业更加显著。
基于咖啡期货价格对相关企业股价影响的研究，本文提出了五个方面的建议：投资者
需要认识到期货市场和股票市场的资产价格存在变动的可能性；上市咖啡企业需要考虑改
进经营模式和建设咖啡库存来确保获取稳定收益；适时地关注期货市场能够为大宗商品生
产企业的生产经营提供指导；我国可以根据相关法律法规和政策，参考我国咖啡产业实际
发展情况适时推出我国的咖啡期货合约，以满足从事咖啡生产的企业套期保值需求等；关
注市场间的影响将有助于从业人员分析市场的动态变化。
关键字：
产业链；经营绩效；VAR模型
I

Abstract
From the second half of 2021 to the beginning of 2022, the price of coffee futures contracts
in the international futures market has been on an increasing trend and reached a new high in
recent years. This round of coffee futures prices rose sharply due to expectations of changes in
current supply and demand conditions caused by extreme weather changes, and changes in
coffee futures prices will also affect future supply and demand conditions in the international
coffee market. The changes in supply and demand in the international coffee market are related
to the production and operation of listed companies related to the coffee industry, and the
production and operation of listed companies related to the coffee industry can be reflected by
the stock prices of these companies.
By taking the coffee industry chain as the entry point, this paper selects NASDAQ-listed
coffee companies that are upstream and downstream in the coffee industry chain as
representatives of coffee futures-related companies for the study. This paper first distinguishes
the relationship between coffee and upstream, midstream and downstream companies in the
industry chain by using commodity futures pricing theory and Ohlson model as the theoretical
basis. Secondly, by sorting out the two main factors, namely the movement of spot prices and
trading behavior, a theoretical analysis of the mechanism of action of coffee futures prices on
the share prices of related listed companies is conducted, and a hypothesis of the impact of
coffee futures prices on the share prices of related listed companies is proposed. Finally, by
using the daily closing prices of the C-type coffee futures continuous contract of ICE Futures
US and the daily closing prices of the stocks of listed coffee firms on NASDAQ from 2011 to
2021 as the data sources, we empirically analyze the impact of coffee futures prices on the stock
prices of related listed coffee companies using VAR models, Granger causality tests, impulse
response analysis and variance decomposition. The impact of coffee futures prices on the stock
prices of related listed coffee companies is empirically analyzed. Based on the results of the
empirical analysis, it is found that the stock prices of listed coffee companies in the middle of
the coffee industry chain are more significantly affected by the price of coffee futures contracts
than those of listed coffee companies in the lower reaches of the coffee industry chain.
Based on the research on the impact of coffee futures prices on the stock prices of related
II
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