Research About The Financialization Of China’s Commodity Spot Market Under The Perspective Of Volatility Spillover Effect

In recent years,more and more financial capital have been involved in the commodity market,through the futures market and other channels of transmission,the influences that traditional financial market on the commodity market is more and more tremendous,the price of commodity market begin to fluctuate frequently or even appear big bubble and crash,the commodities market begin to show the financial characteristics.The emergence of financial characteristics in commodity markets makes the traditional supply-demand law of commodity can’t explain the price volatility of commodity markets.As the basic raw material of modern industry and agriculture,if the commodity price fluctuates frequently,it may seriously affect the production and business activities and industrial development of the enterprise.Therefore,under the perspective of theoretical formation mechanism and empirical research,this paper analyzes the volatility spillover effect and the direction of the impact between the commodity spot market and the stock market,and studies the financial phenomenon of China’s major commodities spot market.The first chapter focuses on the research background of the article,the practical significance of the research,the relevant literature review,the writing idea,innovation and deficiency of the article.The second chapter explains the commodities market financialization in theoretical analysis.From the pricing mechanism of the commodities,pricing mechanism of commodity futures and modern portfolio theory,this chapter discusses and analyzes the theoretical mechanism of the financial phenomenon of commodity market.The third chapter firstly explains the reason of choosing VAR-BEKK-GARCH model,and secondly introduces the empirical research model of this article.The fourth chapter uses empirical analysis method to analyze financial phenomenon of commodity market,specific as follows:first of all,this paper studies the descriptive statistic of the return series of coke,cotton,soybean meal,gold,copper that represent commodity market and the return series of Shanghai and Shenzhen 300 index that represents stock market.Secondly,the VAR model is established to study the lag between the stock market and the commodity market,and the stability test is carried out and then establishes a two-variable VAR-BEKK-GARCH model.With the model,research on the financial phenomenon of China’s commodity spot market that based on the existence of the volatility spillover effect between the returns of China’s stock market and the spot market of China’s commodities.The empirical results show that under 1%significance level,the spot market of commodities in our country exist the financial phenomenon,but the degree of financialization in the spot markets of different types of commodities appears to be differentiated.The metals commodity markets represented by copper and gold,the agricultural products commodity markets represented by cotton and soybean meal suffer from the stock market volatility spillover effects in one direction;On the contrary,there is no volatility spillover effect from commodity spot market to stock market;For the energy commodity markets represented by coke,there is no volatility spillover effect in any direction,that means the correlation between the coke market and the stock market is not strong;The fifth chapter puts forward some relevant suggestions on the basis of theoretical and empirical conclusions.