Research On The Spillover Effect Of The Us Stock Market On The Commodity Market Under The Impact Of COVID-19

At the beginning of the 21 st century,with the influx of institutional investors into the commodity futures market,the volume of futures transactions rose sharply,resulting in a trend of financialization in the commodity market.Since then,the linkage between the stock market and the commodity market has become increasingly close,and the spillover effect between the two markets has risen sharply.This has affected the normal operation of the real economy.The outbreak of COVID-19 in early 2020 has seriously affected the operation of the world economy.The resulting panic has led to severe price fluctuations in the stock market and commodity markets.In this context,it is of great practical and theoretical significance to study the spillover effect of the stock market on commodities under the impact of COVID-19.Considering the heteroscedasticity and long memory of commodity prices,this thesis constructs the FIGARCH model.Through this model,we examine whether COVID-19 can affect the spillover effect of the stock market on the commodity market.The daily closing price data of agricultural products,energy,non-ferrous metals and precious metals are selected for empirical analysis.Firstly,we study whether the impact of COVID-19 significantly changes the spillover effect of the stock market on the commodity market.Secondly,we study the spillover effect of the stock market on the commodity market under the accelerated spread of COVID-19.Finally,we studied the impact of the number of new COVID-19 cases on the spillover effect in different stages of the epidemic.Through the empirical analysis,the following main conclusions are drawn:(1)The mean and volatility spillovers effect of the stock market on the commodity market were stronger during the COVID-19 than before the pandemic.(2)With the accelerated spread of COVID-19,The mean and volatility spillovers effect of the stock market on the commodity market has increased.(3)In the phases of active prevention,failure of prevention,and re-prevention,the rise of newly COVID-19 cases has enhanced the spillover effect.No significant effect was found in the Again failed stage..