国际大宗商品市场与国内外股票市场对我国大宗商品市场溢出效应的研究

A Study on the Spillover Effects of International Commodity Markets and Domestic and Foreign Stock Markets on China’s Commodity Market

摘要: 随着金融市场的高度国际化与大宗商品市场金融程度的加深，国内大宗商品市场将面临着多种市场的冲击。本文分别从均值溢出效应和波动溢出效应的两个角度，运用VAR模型和DCC-MGARCH模型分析国际大宗商品市场与国内外股票市场对我国大宗商品市场的作用。结果表明，国际股票市场、国际大宗商品市场对我国大宗商品市场均值溢出效应与波动溢出效应均比较明显，但是国内股票市场与我国大宗商品市场间的联系还不够紧密。

Abstract: With the high internationalization of financial market and the deepening of the financial degree of commodity market, the domestic commodity market will face the impact of many kinds of markets. This paper analyzes the effects of international commodity market and domestic and foreign stock markets on China’s commodity market by using VAR model and DCC-MGARCH model respectively from two angles of mean overflow effect and fluctuation spillover effect. The results show that the mean spillover effect and the volatility spillover effect are obvious to the international stock market and the international commodity market, but the relationship between the domestic stock market and the commodity markets in China is not close enough.