Comparative Study On The Two-way Spillover Effect Of The Price Fluctuation Of The Commodity Market And The Stock Market In China And The United States

With the increasingly obvious financial attributes of commodities in the market,and the convergence of pricing mechanism and traditional financial assets,commodity prices,as one of the important reference standards for judging market trends and risk aversion,play an increasingly important role in today's financial market.Studies of the linkage between commodities and other financial markets have also drawn more attention.In many articles of studying the linkage effect between commodities and other financial assets,most of them focus on the stock market and bond market.And most of the references benchmarks are based on the U.S.market.The comparison objects are also maily oil,gold,copper and other commodities.At the same time,not all financial assets are covered.Secondly,economic globalization had improved the comprehensive efficiency of resource allocation.Though economic globalization makes financial assets all over the world together as a whole,due to the different historical environment and the development of different national commodities and other different spillover effects in the financial market performance,specific to the industry classification is different,still need to be discussed more detailed classification.In this background,this paper maily uses VAR-BEKK-GARCH model.At the same time,considering the Chinese futures market starts late,and the reality of futures category is relatively small.So we uses futures varieties as a benchmark in China,including cotton,soybeans,and soybean meals.It also includes soybean oil,gold,and cotton,which maize varieties of seven price data.Besides,it takes industry in Chinese stock market index by citic industry index,and the U.S.stock market with the s&p 500 index industry into cinsideration.Discussing the seven index futures varieties and the corresponding stock market industry two-way spillover effect,and then comparing the volatility spillover between financial markets of China and the United States is different so as to put forward targeted construction of Chinese financial market recommendations.Results show that in 42 group contrast data,only Chinese soybean meal varietyof normal distribution and T distribution with local optimal solution,and the Chinese market soybean varieties of normal distribution with the global optimal solution have the obvious spillover effect,which also include the Chinese market corn varieties T distribution with local optimal solution.As for gold varieties under the condition of four types of distribution,price fluctuation in the obvious two-way spillover effects.And the rest of the situation is or one-way spillover effect,volatility spillover effect or not.They also matain abnormal data.In general,the relevant spillovers of the Chinese market and the American market are different,reflecting the different characteristics of their respective markets.At the same time,in the case of different data distribution patterns and available data processing methods,the results are also different.The reform and improvement of Chinese financial market still needs to be based on the actual situation and adjusted step by step.