Research Of Volatility Correlation Between International Commodity Market Prices And Stock Market Prices

International commodity prices have skyrocketed,accompanied by a sharp rise in price volatility since 2003.The dramatic volatility of commodities will have a serious impact on the economy.With China's accession to the WTO,foreign trade dependence is getting higher and higher,and the international market impact on China's economy is growing.At the same time,China's demand for international commodity markets is also increasing.Therefore,the international commodity market price fluctuations on China's economy is an important factor.The most obvious impact of rising commodity prices on the macro economy is its impact on inflation.And high inflation will have a greater negative impact on the macro economy.On the other hand,the volatility of international commodity prices also makes China's enterprises engaged in related industries face greater operational risks,which is a big disadvantage of economic development for China.Because of the linkage between the real economy and the stock market,the international commodity fluctuations will be harmful to the stock market.With the development of the financial attributes of commodities,there are more and more financial products related to commodities.Under this circumstance,international commodities are increasingly becoming the choice of investors in the stock market.Therefore,the fluctuation of the stock market price and closer the international commodity is becoming closer,and it has become one of the hot issues of concern to the industry and academia.Based on this,this article decided to study the relevance of the two issues,and select more mature stock markets-the United States and Japan stock markets for comparison,with a view to a more in-depth analysis.This paper mainly uses the GARCH model and the VAR model to study the correlation between the international commodity market and the stock market price in China.The volatility of the US Nasdaq index,the Nikkei 225 index,the SSE component index,and the Shenzhen constituent index were measured by the GARCH model,the VAR model and the impulse response model were used to analyze the volatility of the international commodity market and correlation studies.It is concluded that the fluctuation of the commodity market fluctuates with the fluctuation of the US stock market and has no correlation with the fluctuation of the Japanese stock market.And China's stock market volatility less affected.Based on this,this paper puts forward some policy suggestions:Improve the futures market,and compete for international commodity pricing;promote the reform of China's stock market;continue to develop commodity markets;investors need to make decisions with the real situation.It is important to study the influence of the international commodity market on the overall stock market in China,and it can also make a reasonable valuation of the stock for the investors to use the commodity price trend.The supervisory authorities formulate the risk prevention policy and the relevant regulatory policy to provide an important reference,so that stock market in China can be reasonably and orderly developed.