A Study On The Impact Of International Commodity Price Volatility On China’s Stock Market

Since the 21 st century,China is just at the high speed development of economy period,especially since China has accessed to the WTO,the international commodity market has been increasing closely with our country’s economic development as the share of international trade has increased.However our country never grasp the commodity pricing power,which can only passively accept its price volatility and withstand the series fluctuation bring by the market to China’s economy.in that way,China’s stock market must be the first one to suffer the pain in the tide of economic globalization.So what would happen after the equity division of China’s stock market? Will it reacts to fluctuations in commodity prices? How would they react? How does the specific influence mechanism of the international commodity market and the stock market,which are related to financial markets?Combined with domestic and foreign scholars study,along with the macroscopic and microscopic perspective,focuses on analyzing the relationship between the commodity market and the macro economy,commodities,and micro financial market(stock market),according to the dual nature of commodities-financial attribute,the international commodity price fluctuations on China’s stock market research will be divided into two main line: the influence of the real economy conduction path,financial market linkage path.With regard to the real economy conduction,fluctuations in the international commodity prices eventually guide for changes in the producer price index,which caused the stock as the market changes,the path transmission ways mainly about :corporate cash flow,expected rate of inflation,real money balances and balance of payments,it is a kind of long-term,indirect influence.As for the financial market linkage,based on the modern portfolio theory,heuristic method,herding effect factors,departed the international commodity market and Chinese stock market as two separate financial markets have a financial linkage effect,including the mean spillover effect,volatility spillover effect,the path is based on market information transmission between immediacy,short time-consuming,influence more rapidly,is a short,direct influence.Combined with theoretical analysis,there will take the commodity price index,producer price index and the Shanghai index as the research object to establish related model.By using VAR model,GARCH-BEKK model,assisted with Granger causality test,ADF test,impulse response function and variance decomposition,chi-square test and multivaria te variance test found that through the real economy,the international commodity prices will cause the imported inflation in China,the negative impact on the stock market,in the same way if commodity prices fall,the stock market will have a positive impact.Through the financial linkage path,international commodity markets and two-way mean spillover effect between the stock market in China,but there is only the international commodity market to the stock market volatility spillover effects of unidirectional under the significant level of 1%.Based on the analysis of reality analysis,this paper puts forward relevant policy suggestions from different perspectives.