A Study On The Spillover Effects Of Domestic And Foreign Stock Markets On Domestic Bulk Commodity Markets Under The Back-Ground Of Bulk Commodity Financialization

Financial capital in the commodity market is increasing after the 21st century.Traditional financial market,such as the stock market,has an influence on the bulk commodity and commodity futures increasingly.The bulk commodity market appears the characteristics of financialization:the sharp rise in trading volume and the open interest,changes in the structure of market investors,and the increasing relevance between traditional financial markets and bulk commodity market.It has become an important topic of research on bulk commodities.This article,by sorting out domestic and foreign literature,defines the bulk commodity financialization as "the price of commodities is not only determined by supply and demand fundamentals,but also by financial factors such as the strength of financial investment.The linkage between different bulk commodities and the entire financial market is strengthening and the financial attributes of commodities are becoming more prominent.Does China's bulk commodity futures market comply with this phenomenon?What is the difference with foreign mature commodity futures markets?Are there any differences in the financial characteristics of different commodity categories?This paper aims at answering these questions,starting from the macro measurement and micro performance of the bulk commodity financialization,systematically analyzing the transmission mechanism of commodity financialization factors and the interaction mechanism between the bulk commodity futures and stock markets,and empirically studying the risk contagion mechanism of commodities in the context of financialization.First of all,from the macroscopic measurement,this article summarizes and describes statistical methods,and observes the phenomena of international and domestic commodity financialization,which are reflected in the characteristics of bulk commodity and commodity futures that are similar to the violent fluctuations in financial assets.The financial structure of the structure and the financial characteris-tics of market transactions are three major aspects.Secondly,from the microcosmic performance,this paper indirectly measures the degree of financialization of China's commodity market by analyzing the mean value overflow and volatility spillover effect between commodity market and stock market.The VAR model measures overflow rates between the domestic and foreign stock market and domestic commodity market,and observes the Granger causality and impulse response function between the two markets.It also uses the DCC-GARCH model to study the volatility effect between the domestic commodity market and domestic and foreign stock markets to see whether the financial stratification of bulk commodities has occurred through the comparison.Specifically,in the empirical study,the data is divided into the composite index level and the specific future level.At the comprehensive index level,a logarithmic yield series for the 2004-2017 domestic and foreign commodity indices and daily closing prices of the stock market index was constructed.The South China Futures Commodity Index was selected to represent the domestic bulk commodity index,and the Shanghai Composite Index represented the domestic stock market index.The CRB Commodity Index represents the international commodity index and The S&P 500 Index represents the foreign stock market index.At the specific futures level,based on the trading volume and activity performance of commodity futures and the length of time,the Shanghai Futures Exchange copper,aluminum and natural rubber futures are selected as basic metal future and industrial future,the Dalian Commodity Exchange soybean meal and corn futures represent agricultural future.Matching the daily prices of these futures in 2004-2017 with the daily closing prices of the Shanghai Composite Index.Through the measurement results of two kinds of spillover effects and two levels of data,there is a significant correlation between China's commodity market index and domestic and foreign stock markets.From the mean overflow aspect,the foreign stock market in lag period has an impact on domestic commodity markets.From the aspect of volatility spillover,the dynamic correlation between stock market and commodity market is higher in China.Both domestic and foreign stock price return rates are Granger Cause of China's commodity price index.From the perspective of the transmission path,foreign financial markets mainly transmit the information to domestic commodity market through the international commodity markets.International stock market influences futures prices of the inter-national commodities through cross-market trading such as commodity index invest-ments.This spillover transmits to the bulk commodity because of the high correlation in the current prices and future prices.Domestic financial market produces spillover effect on domestic commodity markets mainly through the cross-market transactions and other channels.Finally,from the empirical results at the specific futures level,it can be found that the DCC coefficients of different types of commodity futures and stock markets show different volatility characteristics over time.Compared with the foreign stock market,the domestic stock market has more significant spillover effect on commodity future.The DCC coefficient of metal futures and industrial futures are generally higher than that of agricultural futures.The level of financialization is stratified in different types of commodity futures.