Research On Dynamic Risk Spillovers Between Commodities And Stock Markets

With the deepening of the financialization of commodities,the correlation between the commodity market and the stock market has been increasing,and the connection between the two has become increasingly close,which has also laid the foundation for the transfer and spillover of risks between the two markets.At the same time,under the influence of frequent extreme events in recent years,market risk changes have intensified,and risk spillovers have become more complex.Especially since the outbreak of COVID-19,commodity prices have continued to change sharply,stock market volatility has intensified,market risks have risen sharply,and risk spillovers between the two markets have become prominent.Therefore,from the perspective of the impact of COVID-19,this paper accurately measures market risks,describes the intensity,scale and direction of risk spillover,explores the impact mechanism of COVID-19 on risk spillover,and scientifically describes the dynamic risk spillover characteristics between commodities and stock markets in the context of COVID-19,with a view to helping relevant departments to adjust macro policies and do a good job in market construction and risk management.Based on this,this article takes the Shanghai Composite Index and the overall and partial segmented commodity price index as the research objects,and construct the GARCH Copula Co Va R model for empirical analysis,specifically,selects daily closing price data from January 2006 to September 2022.Establish an appropriate ARMA-GARCH model to fit the edge distribution of each sequence,extract the conditional mean,conditional standard deviation,and standardized residual from the model,and calculate the Va R of each market based on the conditional mean and conditional standard deviation.Perform probability integral transformation on residuals and establish a Copula model.Select the optimal student-t Copula model to construct a joint distribution of stock and commodity markets,and use this to calculate the conditional value at risk(Co Va R)and related indicators for each market;To characterize the dynamics of risk spillovers,a dynamic change graph of risk spillovers was drawn based on risk spillover value data(ΔCo Va R),and the results of risk spillovers were analyzed.Finally,in order to deeply analyze the risk spillover characteristics of the stock market and the bulk commodity market under the COVID-19 epidemic,we respectively studied the risk spillover under the general situation and the global financial crisis and other extreme events,and summarized the dynamic risk spillover characteristics between the bulk commodity and the stock market under the impact of the COVID-19 epidemic by comparing the changes in the intensity and direction of risk spillover under different events and draw research conclusions.The research results indicate that,firstly,when encountering major external events,the risk values of the stock market and commodities will show varying degrees of increase.In particular,during the COVID-19 epidemic,the overall risk value of the bulk commodity market has significantly increased,and different types of bulk commodities are affected by the epidemic and have different performance characteristics.Secondly,regarding the spillover intensity,overall,the risk spillover degree of commodities to the stock market is higher than that of the stock market to commodities;The spillover degree of commodity synthesis to the stock market is the strongest,followed by non-ferrous metals to the stock market,and there is a significant asymmetry in the risk spillover between the stock market and the two markets.Third,since the COVID-19,the risk spillover effect of the stock market on bulk commodities has significantly increased.Specifically,the risk spillover effect of the stock market on energy,coal,coke and steel mines has changed most significantly,and the risk spillover effect on precious metals is the least obvious.Fourth,since the COVID-19,the directional spillover direction between the stock market and the commodity market has changed.The directional spillover direction has changed from commodity to stock market to stock market to commodity.Finally,relevant suggestions are proposed from two aspects:market risk management and commodity market construction.