Research On The Spillover Effects Of The International Commodity Markets And The Stock Markets Of BRICS

With the development of financial market,the financial attributes of bulk commodities become more and more obvious.Bulk commodities gradually have the investment function which is similar to stock assets.BRICS play an important role in global economic development and trade.Their stock market has huge investment potential which is favored by international investors.The commodity market and the stock market have become an important field of financial investment and risk hedging.In the trend of speeding up the opening of the financial market,the spillover effect between the commodity market and the BRICS stock market is becoming more and more obvious.This paper uses the Shanghai Composite Index,MSCI South Africa index,MSCI India index,Russian RTS index and MSCI Brazil index to describe the stock market of China,South Africa,India,Russia and Brazil respectively.Oil,copper and gold are selected as representatives of international commodities.This paper selects daily data from January 1,1998 to January 1,2018 as the sample.The original sequence is divided into high,low frequency component and long-term trend by fully adaptive ensemble empirical mode decomposition model(CEEMDAN).The high frequency component represents the short-term influence of random fluctuation.The low frequency component represents the long term influence of the major events,and the trend component represents the trend of development.The VAR model is established to analyze whether the yield spillover effect is significant between the commodity market and the stock market.The impulse response function and variance decomposition are used to research the short-term impact and contribution of the market.Finally,we build the BEKK-GARCH model to research the volatility spillover effect between the commodity market and BRICS stock market.After the analysis of this paper,when the short-term fluctuations occurred in the market,the mean-spillover effect of commodities on the stock markets of the BRICS countries was significant,and spillover effects on the commodities of the BRICS countries' stock markets were not significant.With respect to the volatility spillover effect,the one-way spillage of commodity market to BRICS stock markets is even more pronounced,and its volatility spillover effect is more aggregated and persistent.