The Impact Of Commodity Price Volatility On The Yield And Volatility Of China's Stock Market

Since 2003,the prices of international bulk commodities have been rising gradually.The drastic fluctuations of bulk commodity prices will also have a serious impact on the development of China's real economy.With China's entry into WTO,China's international dependence on foreign trade is increasing,and the impact of international commodity market on China's real economy is also increasing.At the same time,China's dependence on and demand for international commodities in the international market is also increasing.Therefore,the trading volume and price fluctuation of international bulk commodities have become an important factor for China's economic development.On the one hand,the sharp rise in the market price of international commodities will seriously affect the global inflation level,and then it will also brings a negative impact on China's long-term economic development.In addition,China's small and medium-sized enterprises and individuals engaged in commodity-related industries will face greater investment and operational risks.At the same time,since the performance of the stock market can reflect the development of the real economy to a certain extent,the large fluctuations of international commodity prices have a great negative impact on the long-term development and stability of China's stock market.With the further strengthening of the financial investment attribute of commodities,there are more and more international financial investment products with commodity price as the investment target.Therefore,the internationalcommodities gradually become the choice of investors in the market.This has also strengthened the correlation between China's stock market and the price fluctuation of international bulk commodities,which has become one of the hot issues paid close attention to by the international financial industry and academia.Based on the above theoretical basis,this paper decides to link the correlation with the price as the main research topic,and through the analysis of the theoretical and empirical study commodities overall index and industry index price fluctuations in the whole period,before the financial crisis,after the financial crisis in the whole stock market in China and its related industries the average yield of the stock market and the impact of price volatility,and give some relevant policy suggestions.This paper uses ARMAX-GARCH model to study the CRB index and price fluctuation in the CRB industry index on the Shanghai composite index and the corresponding industry index of yield and volatility impact and influence,and divided into three periods,namely the whole period of analysis and comparison of before and after the financial crisis,draw the conclusion: for the performance of the whole period results in terms of yield,in addition to the textile and clothing industry of enterprise,in other industries is not significant or negative significant,consistent with relevant literature before conclusion.In terms of the impact of volatility,except for the food industry,the changes in commodity prices have a significant impact on the Shanghai stock market and the industry stock market.The financial crisis has clearly changed the performance of yields and volatility.After the financial crisis,except for the data of agriculture,forestry,animal husbandry and fishery,the performance was basically close to the empirical results of the whole period.Based on this,this paper finally puts forward appropriate policy suggestions: for China's stock market,we should carry out relatively stable and reasonable reform to stimulate its healthy development;Gradually open China's bulk commodity market,with the international standards;Investors can reasonably use the relationship between commodities and the stock market to build a reasonable portfolio for risk hedging.System in-depth study on the international commodity market price changes can impact on the impact of the stock market of our country for our country's stock market regulator,such as the securities and futures commission,the stock market risk prevention policies provide important theoretic reference and basis,also can let our investors effectively make full use of the commodity market price fluctuations and trends on the stock market and reasonable valuation,promote our country's stock market is more normative and orderly and healthy development.