Research On The Influence Of International Commodity Price Fluctuation On China’s Stock Market

Since the 21 st century,China’s economy has developed rapidly.After joining the WTO,it has become more closely connected with the world economy,and its dependence on international bulk commodities has continued to deepen.When the prices of imported bulk commodities fluctuate,China’s economy will be affected to a certain extent.China’s stock market will also be affected.At the same time,China’s financial market has been more open to the outside world,and its linkage with the international financial market has become more frequent.Based on this background,this paper combines theory with practice to empirically analyze the spillover effect between the international commodity market and China’s stock market,providing guidance for macroeconomic regulation and micro-investors to optimize asset allocation.Through domestic and foreign literature research on the relationship between bulk commodities,macroeconomics and stock market,combined with the theoretical analysis of the impact of international commodity price fluctuations on China’s stock market,the VAR model and DCC-GARCH model are used to study the relationship between the international bulk commodity market and China’s stock market.The empirical research is divided into three parts.Firstly,the VAR model is used to study the impact of international commodity price fluctuations on China’s stock market through macroeconomics with the help of Granger causality test,impulse response function and variance decomposition.Then,based on the financial attributes of international bulk commodities,the DCC-GARCH model is used to analyze the spillover effect of the international bulk commodity market on China’s stock market through the linkage between financial markets as a whole.Finally,deepen the research level and use the VAR model and the DCC-GARCH model to empirically analyze the spillover effect between the international commodity industry and the domestic stock industry from the perspective of the micro industry.The results of this paper show that: First,changes in international commodity prices will have a significant positive mean spillover effect on China’s producer price level and interest rate,and fluctuations in China’s producer price level and interest rate will have a negative mean spillover effect on China’s stock market.That is to say,the fluctuation of international commodity prices will have a negative mean spillover effect on China’s stock market as a whole.Second,the dynamic correlation coefficient between the international commodity market and China’s stock market will change due to the impact of external events.In the early stage of the event,the correlation coefficient between the markets will decline,and in the later stage of the event,the information will be fully transmitted between the markets.Then the correlation coefficient will increase again.Third,both the WTI crude oil index and the food index have a positive mean spillover effect on the domestic stock industry sector index,but WTI crude oil has a stronger linkage with China’s stock industry sector than food;the correlation between WTI crude oil and China’s stock market The coefficient will change due to the disturbance of external events,while the dynamic correlation coefficient between the food industry and China’s stock industry has no obvious trend of change.Based on this,this paper puts forward corresponding policy suggestions.That is to say,the government should continuously improve financial policies to alleviate the risks brought by international commodity price fluctuations to my country,and individual investors should continuously improve their investment capabilities and allocate assets reasonably.