Is There A Spillover Effect Between China's Agricultural Products,Energy And Metal Commodities?

China's commodity market is a barometer of China's economy,which affects China's economic development and industrial restructuring.In recent years,China's commodity market after disorderly development,cleaning up and reorganization,finally standardized development,market size is expanding.China's commodity prices fluctuate wildly.At the same time,commodity prices are not only determined by the relationship between supply and demand,but also a series of fluctuations in commodity prices,such as agricultural products,energy and metals,caused by external political and economic events.In addition,the financialisation of commodities has increased the degree of price transmission between agricultural products,metals and energy as a result of their enhanced financial nature.From the perspective of hedging and speculation,more and more investors choose commodity futures as an investment channel to diversify portfolio risk.Therefore,the study on the volatility spillover relationship between different categories of bulk commodities in China is conducive to the optimization of asset allocation and investment portfolio by individual investors to reduce risks,the formulation of reasonable hedging strategies by relevant industrial chain enterprises,and the strengthening of financial regulation and prevention of financial risks in China.In this paper,typical varieties of agricultural products,energy and metals,such as No.1 Soybean,coke,copper and rebar,are selected as the research objects of the spillover effect among commodities in China.Firstly,the iterative cumulative sum of squares(ICSS)algorithm is used to find the abrupt change point of conditional variance of commodity yield sequence.Secondly,the dynamic correlation coefficient between commodity futures markets is determined by establishing a multivariate DCC-GARCH model.Finally,this article uses the Diebold & Yilmaz(2012),the overflow of exponential model respectively for 4 kinds of goods' returns and volatility sequences is studied,it is concluded that the static total goods returns and volatility spillover index between the two direction and size of overflow,further,this paper uses the rolling window method research of each commodity futures returns and volatility of dynamic total net overflow spillover index and index,in order to determine information overflow "Source" and "Recipients".The empirical results of this paper show that: first,there are many mutation points in the return rate sequence of four commodity futures,and the number of mutation points of different commodities is different.Second,there is a positive correlation between the four commodity futures return rate sequences,and there is a close relationship between the varieties in China's metal market and between the energy market and the metal market.In addition,the dynamic correlation coefficient also changes suddenly when the yield rate changes suddenly.Third,the total volatility spillover index of the four commodity futures is greater than the total yield spillover index,indicating that the volatility linkage between commodity futures markets is greater than the price linkage.Rebar contributes the most to other markets and is the "Source" of both yield and volatility spillovers.No.1 Soybean,coke and copper are "Recipients" of yield spillovers,while No.1 Soybean,coke are "Recipients" of volatility spillovers.Fourth,four kinds of commodity futures returns and volatility of total overflow dynamic index show a similar decline,the mutation of more volatility spillover index curve,show China's commodity futures market risk transfer sensitive to external economic events,the domestic commodity market volatility spillovers exist larger volatility and uncertainty.Fifth,the dynamic volatility net spillover index changes more frequently than the dynamic yield net spillover index.The dynamic net yield spillover index and net volatility spillover index of coke show frequent positive and negative alternations.Rebar is the net "Source" of yield spillover index,and douyi is the net "Receiver" of yield spillover index,no matter in the period of European debt crisis,liquidity shortage,"Stock Market Crash" or China's supply-side reform.Copper futures were net "Sources" of yield spillovers except during the European debt crisis,and net "Receivers" of yields in other periods.However,soi and copper were net "Sources" of volatility spillovers during the period of major external events,while rebar and coke were net "Recipients".