An Empirical Study On The Time-varying Spillover Effect Of The International Commodity Market On Stock Market In China

With the rapid economic development,China has become increasingly dependent upon commodities.At the same time,with the deepenness of financialization of commodity market and the gradual opening of China's financial market,the linkage between domestic and foreign financial markets is strengthened.In the real economy,the transmission mechanism between different financial markets is influenced by many factors,and may exhibit different effects under different macroeconomic environments.Therefore,it is necessary to conduct further research on the time-varying spillover effects between the international commodity market and the stock market in China combining with the specific macroeconomic environment.By establishing TVP-VAR models,this paper characterizes the time-varying spillover effects of international commodity price on China's Shanghai Composite Index and the sector indexes of resources.This paper finds that under the different economic backgrounds,the spillover effects of international commodity market price on China's stock market show significant time-varying characteristics.And under different transmission paths,the directions and sizes of spillover effects are very different.Further,we portray the time-varying spillover effects of the international commodity market on the sector indexes of upstream and downstream of resources.In addition to the different characteristics of the impulse response in different economic environments,this paper also finds that for industries in the upstream and downstream of the industrial chain,the impulse response of international commodities is significantly different.It shows that for industries with different characteristics,the main transmission path of spillover effects is different.When international commodity prices fluctuate,short-term liquidity is more concerned with the upstream sectors which are directly related to commodities.