Research On The Risk Contagion Effect Among International Crude Oil Market,Chinese Stock Market And Chinese Commodity Market

As the process of financial globalization continues to accelerate,in the past ten years,Chinese commodity market has flourished and has become the world’s second largest commodity market.More and more investors are incorporating commodities into their investment portfolio plans to achieve diversified returns.Due to the significant differences in structure and system between Chinese commodity market and the commodity markets of other developed countries,this article first considers the volatility spillover effect of Chinese stock market and commodity market under the same macro environment and market mechanism.Based on relevant conclusions,we have observed significant volatility spillovers of energy and chemical industries on the stock market,and introduced international crude oil markets to explore the effects of risk contagion across markets.First,based on the volatility spillover index under the TVP-VAR framework,the dynamic volatility spillover of the Chinese stock market and the Chinese commodity market is studied.The results show that,on average,the Chinese stock market is a net receiver of volatility,and the non-ferrous metals and chemical industries have a very obvious impact on the volatility spillover of the stock market.After major crisis events,the volatility correlation between markets has increased.Since the outbreak of COVID-19,the spillover effect of the stock market on the commodity market has increased significantly.When a crisis occurs,the ability of most commodities to hedge risks is significantly reduced;NMFI(precious metals)and CRFI(grains)still have good hedging capabilities after the crisis,but the effectiveness of hedging is relatively low.In addition,the combination of CRFI and SHCI(Shanghai Composite Index)is the most effective for reducing risk.Furthermore,the MODWT-Vine quantile regression method is used to study the dynamic dependence and risk contagion effects of the international oil market,the Chinese commodity market and the Chinese stock market under different investment time scales.Considering covariates and investor heterogeneity brings richer information.The results show that,the volatility spillover in the Chinese market is stronger than the spillover from the oil market to the Chinese domestic market.The Chinese commodity market shares the impact of the oil market on the Chinese stock market to a certain extent.In the short term,it is more affected by the herd effect.The oil market has an impact on the Chinese market.The impact of China is mainly at the mid-and long-term level.There is no obvious asymmetric effect in the original return sequence,and the short-term asymmetric effect is greater than that in the medium-term.18 pictures,14 tables,105 references...