Analysis On The Influencing Factors Of The Linkage Between Commodity Market And Stock Market

In recent years,with the rapid development of science and technology,more and more trade between countries,more and more integration of the global economy,each market can no longer operate independently,and the relationship between different markets also shows the law of fluctuation from time to time.Therefore,how to accurately measure the changes in the relationship between different markets has become the focus of academic attention.Accurate grasp of the key relationship between different markets can help investors to carry out a clear portfolio management and explore the possible trajectory of economic operation.For a long time,people only pay attention to the commodity attributes of commodities,believing that the correlation between commodities and stocks is very low or even negative,and it is logical to add commodities to the portfolio to mitigate risks.However,in recent years,the portfolio has been so effective that we have to think about whether the correlation between the stock market and the commodity market changes over time.At present,DCC-MGARCH model is mainly used to capture the change of correlation between stock market and commodity market in China,but the assumption of this model is too harsh to meet the reality.The Copula function can flexibly connect the functions with different distributions,so it is superior to DCC-MGARCH model in terms of flexibility and applicability.Therefore,this paper also uses the time-varying Copula model to capture the trend map of two market correlation changes,and further explores the possible reasons for the correlation changes of stock market and commodity market.Specifically,this paper explores the correlation between the Shanghai Composite Index and the South China Commodity Index,and further refines the relationship between the Shanghai Composite Index and agricultural products,energy,industrial products,metal plate.The results of DCC-MGARCH model and Copula model are consistent,which also verifies the correctness of the results.Theresults show that the trend of Shanghai Composite Index and energy,industrial products,metal plate is the same as that of Shanghai Composite Index and commodity market as a whole,and shows a sharp fluctuation phenomenon.Specific analysis,January 2009-June 2013 and July 2015-October 2018,the stock market and the commodity market linkage is relatively high,probably due to the outbreak of the financial crisis in 2008 and the sudden sharp decline in China's stock market in the second half of 2015.From July 2013 to June 2015,the linkage between the stock market and the commodity market has been declining,and the correlation is very low,even there is no correlation.The correlation change of Shanghai Composite Index and agricultural products sector is relatively flat compared with other sectors,and shows a certain periodicity,which is related to the periodic maturity of agricultural products,and the government has certain policy support for agricultural products market,which is also the reason for the relatively flat change of the correlation.Then,according to the empirical results of Chapter IV,this paper further explores the driving factors of the linkage effect between the return volatility of the commodity market and the stock market,mainly explaining the linkage driving factors between the stock market and the commodity index from the macro-fundamentals and non-fundamentals.From the macro perspective,the explanatory power of the selected EPFI to the asset correlation coefficient is not significant,while the Baltic Dry Bulk Index(BDSI)to the asset correlation coefficient is significantly negative,indicating that when the international demand for commodities is poor,the linkage between commodities and stock market will rise.At the same time,the rising inflation rate will also lead to an increase in the linkage between the stock market and the commodity market.For the non-fundamental situation,the greater the volatility of China's stock market(IVX),the worse the ability of financial assets to withstand risks,and the stronger the linkage betweenthe stock market and commodities and their sub-markets.However,the explanatory power of China's financial pressure index to the asset correlation coefficient is significantly negative,which indicates that the increasing pressure of China's financial market will aggravate the linkage between the stock market and the commodity market.Moreover,the weakening of the liquidity of the stock market and the increasing volatility of the stock market will lead to the increase ofthe linkage between the stock market and the commodity market.Finally,according to the results of the previous chapters,combined with the current situation of China's stock market and commodity market,the corresponding policy recommendations are given in terms of risk monitoring and prevention mechanism,financial supervision and timely macro-financial dynamic regulation and control.