An Empirical Study On The Linkage Effect Between International And China's Commodity Market

Commodity is not only the necessary raw material for production,but also important investment tool.The dual attributes of commerciality and finances that commodity has has made the commodity market become a basic market and will continue to occupy an important position in the course of global economic development.And with the acceleration of the globalization process,the world's various economies and the commodity markets are increasingly closer.Since joining the WTO World Trade Organization,our country has become increasingly involved in the development of a globalized economy and has played a significant role in the development of the global economy.At the same time,the rapidly growing economy of China has become increasingly dependent on commodity.In recent years,international commodity prices have fluctuated violently.The continuous reform of China's commodity futures market and stock market has greatly enhanced the linkage with foreign markets.How will the impact of changes in international commodity prices affect China's commodity spot,futures,and stock price? Is there a new change in China's pricing power for international commodity prices? How should investors combine the trend of international commodity prices to analyze the fundamental changes in China's commodity prices and make reasonableinvestments? How do domestic regulatory agencies formulate corresponding regulatory policies based on fluctuations in international commodity prices?It sums up the research of domestic and foreign scholars on the correlation between commodity prices and macroeconomics,and the correlation between commodity markets and the stock market.This article starts from the commodity's attributes of commerciality and financial,and stands on the overall perspective,through theoretical analysis and empirical research on the spot price of international commodity and China's commodity spot price,international commodity futures price and China's commodity futures price,international commodity spot/ futures prices and China's commodity stock market price these three groups' linkage effects of,and contrasting the mature US market of commodity stock,fully explores the degree of correlation between international commodity markets and China's commodity markets,and aims to serve as a theoretical basis.The study supplements and proposes positive suggestions for the establishment of China's commodity market price dominance and convergence with the development of the international market.This has important practical significance for promoting the development of multilevel international markets for commodity in China.Based on the VAR model-based mean spillover effect test and the GARCH-BEEK model-based volatility spillover effect test,an empirical study of the linkage effects of the above three groups of prices reveals that China's commodity futures/spot/stock prices have no effect on international commodity prices.While the international commodity prices have a positive spillover effect on China's commodity futures/spot/stock prices,among which the impact on China's commodity futures price lags behind and the volatility spillover effect is not significant;meanwhile,the impact on US commodity stock prices is negative and the fluctuation effect is not significant.Finally,this paper makes a practical interpretation of the empirical results and puts forward corresponding policy recommendations.