The Research On Volatility Characteristics And Spillover Effects Of China’s Commodity Futures Market And Stock Market

The futures market as the professional market to diversify investment risks, now theprogressive development of important financial markets in the world for the development of thenational economy. With the growing size of the futures market, the futures market is increasinglyobvious role in the stable development of a country’s economy, which has played a pivotal role incommodity futures. If the prices of the commodity futures market to dramatic price fluctuations willinevitably bring a certain degree of impact on the Chinese economy, and the stock market as abarometer of economic development is bound to be reflected in the stock price. On the other hand,due to the free flow of capital, the stock price changes also affect the commodity futures pricevolatility. Therefore, research the characteristics of China’s commodity futures market and stockmarket fluctuations and dynamic relationship, has an important theoretical basis and practicalsignificance. In this paper, through the analysis of the commodity futures market, the stock marketand the stock market transmission mechanism of the commodity futures market, the use ofindicators of commodity futures index, the Shanghai Composite Index, trying to reveal thecommodity futures market and stock market volatility characteristics and spillover effect.The course of the study, the paper first introduces the research background, significance andrelated concepts; then introduce the guide-lag relationship between the futures price and the stockprice, the transmission mechanism, the spillover effects of research results and conclusions; On thisbasis, this paper draw existing research to describe the conduction mechanism of the commodityfutures market and the stock market; analyzed the characteristics of China’s commodity futuresmarket and stock market fluctuations and the asymmetry in the first part of the empirical analysis,the second part of the spillover effect from the mean and volatility The two aspects of the spillovereffect of the commodity futures market on the stock market and stock market for the commodityfutures market.The research results show that the commodity futures market and stock market volatilityclustering effect and leverage effect exists, than good news bad news on the price fluctuations ofprice fluctuations. Indeed there is a long-term interaction between commodity futures market andstock market, including commodity futures market on the stock market is more obvious. There is atwo-way volatility spillover effect of the commodity futures market and the stock market.