Analysis Of The Dynamic Impact Of Bulk Commodity On Stock Market Price Fluctuation

With the improvement of financial attributes,the pricing method of bulk commodities has dominated from the traditional relationship between supply and demand,and gradually converges with the financial asset pricing mechanism.External shocks may affect several different financial markets at the same time.The price of a single financial market is severe.Fluctuation is likely to cause a chain reaction between financial markets,and the spillover between markets will be expanded through joint actions between different markets.Gold,oil and copper,as the main investment categories in the commodity market,are not only highly financial,but their prices are also important indicators of the world economy.The price fluctuations of these commodities will have a dynamic impact on the international stock market.In this context,this paper constructs the SV-TVP-FAVAR model to study the spillover of the commodity prices of gold,oil and copper with the US,Japan,Hong Kong,UK and China stock markets,and explore the mutual financial markets impact.There are six parts in this paper.The first chapter is the introduction,which introduces the research background and significance of the research,and combs the relevant literature.Chapter 2 selects four perspectives to introduce the theory of different economic factors causing price fluctuations in commodity markets and stock markets,and gives specific examples of typical commodities such as oil,gold and copper.Chapter 3 introduces the econometric model used in this paper from the aspects of model origin,construction,and application value.This part is the basis of empirical test.Chapter 4 analyzes the three-dimensional impulse response of oil,gold,copper and five major international stock indexes,and further explores the impulse response of commodities and major stock markets in special periods.Based on the above research,Chapter 5 summarizes the impact of international stock market shocks caused by price fluctuations of gold,oil and copper,and proposes corresponding risk management recommendations.The last part is the conclusion,summarizing the spillover effects of commodity price fluctuations on the international stock market.The results show that gold price fluctuations have a negative impact on the yield of international stock markets in different periods,and the response amplitude increases monotonously with time;oil price fluctuations have positive fluctuations in the stock market,and the European and American stock markets and Asian stock markets performance of the heterogeneity,the European and American stock market's response to the impact of oil price fluctuations monotonously decreases with time,the impact of Asian stock market shock performance is first decreasing and then increasing;the impact of Asian stock market on copper market price changes is significantly higher than the European and American stock markets Gold and copper price volatility has increased the impact on most international stock markets after the global economy entered a new normal,and the impact of oil price volatility during the boom period on the stock market is even greater.The results of this study can provide some reference for cross-border and cross-market portfolio allocation.