Research On The Correlations Among Different Commodity Futures In China Based On DCC-MVGARCH Model

With the rapid development of global economic and financial, the process of commodity trading financialization is accelerating. Since 2006, Chinese commodity electronic trading market showed a geometric progression in transaction amount, and it leads to Chinese commodity present a trend of financialization. However, commodity financialization will bring a series of consequences and impact, such as distorting the optimization configuration of resource, destroying the normal order of production, increasing the risk of production. Thus we need to study commodity financialization not only from the perspective of the development of Chinese real economy but also the development of financial industry perspective.This paper based on DCC-MVGARCH model, collecting samples from different industries. And taking sugar as a representative of the agricultural products, copper as a representative of the metal, natural rubber as chemical products, fuel oil as the representative of the energy, we analyze the correlations from June 2006 to December 2015 from the four cases of commodity futures price earnings ratio. At the same time, taking Shanghai and Shenzhen 300 index as a representative of the stock market, shanghai bond index as a representative of the bond market, we study the dynamic relationship between sugar, copper and natural rubber, fuel oil and the Shanghai and Shenzhen 300 index, shanghai bond index.The results show that there are a few positive correlations among Chinese commodities, and the correlations are descending in recent years due to the consumer habits, economic cycle and the lack of the index of investment fund, trade restrictions and other various factors influence. And in the sample period, the degree of correlation between the commodity and the traditional financial assets is also very low, and the Chinese commodity does not appear the phenomenon of Financialization.