Empirical Study On The Relationship Between Stock Market And International Commodity Market

With the trends of financial liberalization and financial globalization, information transmission and interaction mechanim between commodity markets and stock markets, and between domestic stock market and foreign markets might be further strengthened. 2008 global financial crisis caused financial system have some adjustment, and changed the investers'expectations and trading strategies, so the linkages of global capital markets between in-crisis era and post-crisis era might have some structural changes. At the same time, after several large-scale finance crises, the correlations among different capital markets became the focus of attention, because of the demands of risk prevention and asset diversification. This thesis tends to analyze dynamic characteristics of interaction mechanim and correlations among international commodity markets and domestic,foreign stock markets, which has important theoretical and practical significance.This thesis first analyzed theoretical mechanism of linkages between stock markets and commodity markets. In the condition of EMH, information transmission mechanism between the two markets is determined. But real markets are imperfect, which cause the linkage mechanism uncertainty and dynamic. Commodity became stock's alternative investment because of its financial properties, and capital cross-market flow may have influence to the linkage mechanism of the two markets.To quantify the linkage mechanism and depict these characteristics, this thesis combine VAR, diag-TGARCH, AG-DCC model to make systematic empirical analyses on international commodity markets and domestic,foreign stock markets. We selected representative indices of China,Hong Kong,the U.S. stock markets, international oil,metal,gold markets and the dollar market as samples. First we used VAR model to analyze mean spillover effects in different markets, then we used diag-TGARCH model to analyze the market asymmetric volatility effect. Based on the results we used AG-DCC model to estimate equations of dynamic correlations among different markets, in order to study the asymmetry and time-varying characteristics, and test the structural change of correlations before and after the 2008 financial crisis.Empirical results of mean spillover effects show that: Hong Kong stock market is an important bridge of China stock market to affect foreign stock markets; Hong Kong and the U.S. stock markets have better price forecast function to some international commodity markets than China stock market; International commodity markets have price farecast function to Hong Kong and the U.S. stock markets, but don't have much influence on China stock market.Empirical results of dynamic correlations show that: the correlaion between China stock market and foreign stock markets is higher after the financal crisis; Hong Kong and the U.S. stock markets have Significant negative correlations with the the U.S. dollar, but the correlation between China stock market and the U.S. dollar is weak in long run; the correlation between the U.S.,Hong Kong,China stock markets and gold is lower after the financal crisis, the correlation between the three stock markets and oil is higher after the financal crisis, the correlation between the three stock markets and copper is weak in long term; the correlation between the U.S.,Hong Kong,China stock markets and international commodity markets successive decrease. These results demonstrate that 2008 financial crisis certainly have structural effects on the linkage between commodity markets and stock markets; correlations between three stock markets and commodity markets have similar trends, but there are some distinction on depth and breadth of various countries'capital markets.