Macroeconomic Cycle And Financial Market Correlation:A Research Based On The CSI300 Index And BDI Index

China has been playing a major role in international bulk commodity market,and the change of China's demand can lead to the fluctuations in the bulk commodity price.But in actuality.the pricing power of the international bulk commodity is occupied by developed countries.Therefore,academic world researches the fluctuation of the bulk commodity from the perspective of the pricing power,but they ignore the commodity property of the commodities and bring about the missing of real economic demand.On the other hand,the approach of the analysis of the correlation between the bulk com-modity market and financial market is from the perspective of financialization rather than macro-economic mechanism.Based on that,the paper pays the major attention on the international bulk commodity's volatility and correlation between the commodities and China 's financial market from the point of the real Inacroeconomy.When the paper analyzes the influence of China's macroeconomy on the interna-tional bulk commodity market,the first challenge we need to deal with is the difference between the commodity price data and the macroeconomic data,the former is daily data but the other is monthly,quarterly or yearly data.The paper takes the advanced anal-ysis framework-Mixed Sampling Data(MIDAS)technique which can deal with the high-frequency data and the low-frequency data at the same time.Using MIDAS tech-nique,the paper takes the low-frequency macroeconomic data into the high-frequency financial volatility model to research on the influence of the macroeconomic change on the.pattern of the international bulk commodity price.The structure of the paper is or-ganized as the following.Firstly,we use the MIDAS technique to take the macroeconomic data into GARCH model(GARCH-MIDAS-X model)to analyse the mechanism of the international bulk commodity's long-term volatility.Then,on the above step we obtain the standardized error series and build DCC-MIDAS-X model to analyse how China's macroeconomy affects the correlation between the international bulk commodity market and China's financial market.Thirdly,we adopt the model confidence set(MCS)approach to compare all the models.Lastly,the paper take a specific bulk commodity-iron ore to do the same analysis as the above analysis in order to verify the robustness of the conclusion.Our results show that the international bulk commodity secular volatility appears the counter-cyclical pattern about China's macroeconomy and the correlation between the bulk commodity and China's stock market appears the pro-cyclical pattern.Our contribution is that we find the link between the international bulk commodity and China's macroeconomy and offer a new perspective for the following theory study and practical operation.