Research On The Impact Of International Commodity Price Fluctuations On China's Stock Market

Since the 21st century,China's economic development has been rapid.After joining the World Trade Organization,it has become more closely linked with the world economy,and the demand for commodities continues to rise.At present,China has become the largest importer of commodities.However,it lacks pricing power for international commodities.Facing the dramatic fluctuations in the price of international commodities,it can only passively accept the impact of price fluctuations on China's economic development.At the same time,the degree of financialization of commodities continues to increase,and the level of opening to the outside world of China's financial markets has also continued to increase.The linkage of international financial markets has become mainstream.In this context,will China's stock market as an economic barometer respond to fluctuations in international commodity price?What kind of reaction will China's stock market make?What is the impact mechanism of international commodity price fluctuations on China's stock market?As a further improvement of the opening level of China's stock market,how does the opening of the "Shanghai-Hong Kong Stock Connect" affect the relationship between the international commodity market and China's stock market?The paper first defines the scope of commodities,and sorts out the transmission mechanism of the impact of international commodity price fluctuations on China's stock market.It is believed that the fluctuations of international commodity price can affect China's stock market through two paths.The first is through the conduction path of the real economy.Affecting our country's stock market,it mainly influences China's stock market through its impact on the company's cash flow,expected inflation rate,actual currency balance,and international balance of payments.Second,it affects China's stock market through the conduction path of financial markets linkage.The conduction path is mainly based on modern portfolio theory,heuristic judgments and herding effects.Secondly,it reviews the trend characteristics of international commodity market and China's stock market price in recent years,and analyzes the linkage between the price of international commodity market and China's stock market.Thirdly,the paper uses VAR.Granger causality test,impulse response,variance decomposition and GARCH-BEKK to carry out an empirical analysis of the impact of international commodity price fluctuations on China's stock market,and draws the following conclusion:International commodity market based on the path of real economy conduction will indirectly have a negative impact on China's stock market.Based on the financial markets linkage conduction path,before the opening of the "Shanghai-Hong Kong Stock Connect,"there is a one-way horizontal spillover effect and volatility spillover effect of the international commodity market on China's stock market.After the "Shanghai-Hong Kong Stock Connect"opens,there is no horizontal spillover effect between the international commodity market and China's stocks market,but there is a two-way volatility spillover effect,that is,there is a two-way risk transfer between the two markets.Finally,according to the empirical conclusions of this paper,we propose targeted recommendations.