An Empirical Study On The Correlation Between Stock Index Futures And Commodity Futures In China

The correlation between the stock market and the commodity market is an important variable in the portfolio,financial regulation and risk management.As a financial derivative of stock indexes and commodities,stock index futures and commodity futures belong to the same type of financial assets.Their trading mechanism are similar,which are more suitable to be research objects of the relevance of the stock market and the commodity market.The correlation of financial market has nonlinear characteristics and cannot be studied by using traditional linear correlation coefficients.The Copula function,proposed by Sklar in 1959,after decades of development,has become a powerful tool for studying nonlinear correlation.Based on the Copula model,this paper studies the relationship between stock index futures and commodity futures comprehensively.First of all,in order to eliminate the disturbance of the correlation of time series,this paper constructs the GARCH model for the yield series of stock index futures and commodity futures respectively.The empirical results show that the residuals of the two presents the characteristics of the high peak and the fat tail.After that,this paper uses the empirical distribution of residuals of GARCH class model as the edge distribution of Copula model,and establishes Copula model and parametric time-varying Copula model with constant parameters respectively from the angle of the static correlation and the dynamic correlation.In the static correlation analysis,this paper chooses four Copula functions with different correlation structural features to construct a single Copula model.After testing the goodness of fit of the models,it is found that any Copula function with asymmetry can't pass the test.It is suggested that the asymmetry of the correlation between stock index futures and commodity futures is weak.Because the single Copula model has some limitations on the description of the related structural features,it can't cover all the structural features.The mixed Copula model is further constructed.The goodness of fit of the mixed Copula model is better than that of the single Copula model.The result of correlation analysis by Copula model shows that there is a positive correlation,a positive tail correlation and a strong symmetry between the stock index futures and the commodity futures.In the dynamic correlation analysis,this paper constructs the time-varying mixed Copula model and studies the changes of the overall correlation and the tail correlation.The results show that during the study period,the correlation between China's stock index futures and commodity futures showed three significantly different stages.Finally,this paper puts forward countermeasures and suggestions to investors and financial regulators respectively for the structural characteristics of the correlation between stock index futures and commodity futures markets:investors should pay attention to avoid the cross-market risks brought by the correlation between stock index futures and commodity futures markets;Financial regulation needs to strengthen cross-market management and include tail correlation into the regulatory indicators.