The Research On Spillover Effects From International Commodities Price Fluctuations To China's Stock Market

With rapid economic development, the degree of China's economy dependence oupon foreign tarde would be greater and greater, China must import large number of commodities raw materials from the international market. Due to volatile international commodity prices, it will inevitably bring influence on China's economy. As a barometer of economic growth, the stock market must also be influenced by international commodity price fluctuations. Therefore, it is meaningful to study the spillover effects between international commodity markets and China stock market.This paper studies how the international commodity prices have an impact on the China's stock market, which mainly embraces two parts: mean and volatility spillover effect. In the process of study, this article firstly introduces the definition of the international bulk commodities, CRB index components, as well as the definition of spillover effects; then, this paper describes the researches and conclusions of scholars at home and abroad; based on this, this paper summarize previous studies results, describes the transmission mechanism between the international commodity markets and China's stock market.According to the analysis of the transmission mechanism, the empirical study of this paper could be divided into two major parts: the transmission path based on the real economy and the transmission path based on the finance and economy. The research results based on the real economy transmission mechanism shows that the international commodity markets transmits the inflation into china's price level, and thus indirectly affect China's stock market. The research results based on the finance and economy transmission mechanism shows that the international commodity price fluctuations indeed cause the mean and volatility spillover effects on the china's stock market, meanwhile, the China's stock market also has a certain degree of mean spillover effect on the international commodity market. This shows that there indeed exists "China factor"in the international commodity market; The relative volatility spillover effect results show that there is no risk impact from the market with large volatility to the market with small volatility, which means that there remains weak correlation between China's stock market and the international commodity markets.