本文基于计量经济学和时间序列分析方法，以猪肉为例，探究我国非期货 商品上市公司的收益率和波动性。本文的实证分析分为两个部分，第一部分是 选取我国主要非期货商品之一，猪肉的价格作为研究变量，探究其与我国猪肉 板块上市公司市值之间的相互关系；第二部分是选取猪肉板块指数的对数日 收益率，探究潜在的波动性，进而研究投资该板块的潜在风险。研究结果表明， 由于 CPI 月度价格披露的延时性和猪肉供给端发生的变化没有立即体现在实 物市场中，所以猪肉板块指数会先于猪肉的 CPI 发生变化，即猪肉板块指数为 我国猪肉 CPI 同比价格指数的单向 Granger 因果原因。其次，通过波动率模型 的拟合，发现我国猪肉板块收益率与风险高度相关，并且存在杠杆效应，即在 上涨时发生较大的收益波动。这表明猪肉板块的投资风险较大，存在市场投机 行为。在最后的结论和建议部分，文章解释了实证研究结果体现的现实意义以 及提出针对我国金融市场发展的合理建议。

Based on econometrics and time series analysis methods, this article uses pork as an example to explore the return and volatility of non-futures listed companies. The analysis of this paper consists of two parts. The first part is to select the main measure of non-futures commodity prices and explore the correlation between it and the market value of listed companies in China's pork sector; Rate, explore potential volatility, and then study the potential risks of investing in this sector. The results of the study show that the delay in the monthly CPI price disclosure and changes in the pork supply side are not immediately reflected in the physical market, so the pork sector index will change before the CPI report, that is, the pork sector index is China ’s pork CPI year-on-year price index One-way Granger causality. Secondly, through the fitting of the volatility model, it is found that the return rate of the pork sector in China is highly correlated with risk, and there is a leverage effect, that is, a large income volatility occurs when it rises. This indicates that the pork sector has a higher investment risk and there is market speculation. In the final conclusions and recommendations, the article explains the practical significance of the empirical research results and puts forward reasonable suggestions for the development of China's financial market.