Research On Risk Spillover Effects Between International Commodities And Chinese Stock Market

With financial liberalization and economic globalization and the gradual opening up of China’s financial market,the relationship between international commodities and the Chinese stock market,as well as related domestic industries,can fundamentally clarify the role of the market influence,and then make risk prevention recommendations,which has important reference value and practical significance.Representative international commodity indexes and domestic stock indexes were selected for the data.Simple descriptive statistics,Co-integration test and Granger causality test were used for the data research.Then,the risk spillover effect was studied based on Quantile Regression model,and the volatility spillover effect was studied based on the GARCH-BEKK model.In terms of international commodity data,this article chooses indexes such as CRB Index and Brent Crude.In terms of Chinese stock data,this dissertation chooses major market indexes and industry indexes related to commodities.First of all,this dissertation makes statistical descriptions and correlation calculations of the data.On the whole,the data has significant financial data characteristics.The correlation results show that there is generally a significant medium correlation or a significant weak correlation between international commodities and China’s stock market.Then the co-integration test and Granger causality test of the data are performed.According to the test results,the co-integration relationship between the data selected in this dissertation passes the test,and the multiple data are mutually Granger causality.According to the relationship between the data,select data groups with a higher degree of correlation.International commodities include the CRB Index and CRB Metals Index.For oil commodities,the WTI Crude Index,OPEC Basket Index,and Brent Crude Index are selected.For Chinese stock market index,SSE 50 Index,CSI300 Index,500 Metal Nonferrous Index,1000 Industries Index,380 Energy Index are selected.The quantile regression model and Co Va R method are used for these data tostudy the risk spillover effects of international commodities on Chinese stock market.This method is used to systematically study the risk spillover effects of international commodities on China’s stock market under different distributed.The extent of the impact of extreme risks at the tail provides effective recommendations for extreme risks.Then use the GARCH-BEKK model on the data to study the volatility spillover effect between international commodities and Chinese stock market.Among multiple data groups,we can see that the impact of Chinese large enterprises on international commodities is more significant.And SMEs are affected by international commodities are even more significant.According to the research results in this dissertation,companies and industries with different volumes are subject to different risk spillover effects.In addition to being affected by risk spillovers,Chinese companies have shown a significant impact on international commodity price fluctuations,and some commodity price fluctuations are affected by China bigger.However,relatively speaking,SMEs are still susceptible to the risks of international commodities,and fluctuations in the prices of some commodities will put pressure on business operations.Therefore,it is recommended that relevant departments provide policy and financial support for SMEs in extreme risk situations,improve the viability of enterprises under systemic risks,such as commodity fluctuations.At the same time,the results between individual indexes show that under common risks,some large-scale enterprises in China are more susceptible to the impact of international commodity risk spillovers.For such enterprises,it is recommended that the government improve the supply ability to ensure that the enterprises normal production.Energy has a significant two-way impact,but from the perspective of China’s energy security,it is still necessary to strengthen the risk prevention capabilities of petroleum commodities.