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An Empirical Study on the Impact of the International Commodity Market on Stock Market in China

Author: LiuZuo
Tutor: ZhengMing
School: Xiamen University
Course: Finance
Keywords: Commodity Stock Market Empirical Study
CLC:
Type: Master's thesis
Year: 2014
Downloads: 4
Quote: 0
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Abstract


China and international commodity market have become increasingly linked since China joined WTO. However, Our country lacks the pricing power on the international commodities although the price of international commodity changes violently. So China has to accept the impact of the price change of international commodity passively. Meanwhile, Stock market in China has gradually become the economic barometer through continuous reforms these years. Is there any impact of international commodity market on stock market in China? What’s the mechanism of the impact of international commodity market on stock market in China? What’s the impact of international commodity market on stock market and industrial stock related in China?Commodity have commercial attributes and financial attributes, so this article divides the impact of international commodity market on stock market in China into the path of real economy and financial market linkage. International commodity market have an impact on stock market in China through the influence of corporate cash flow, the expected inflation rate and real money balances. And this path requires a longer time and is an long-term and intrinsic effect. While on the path of financial market linkage, international commodity market and stock market generate financial linkage effects through the influence of cross-market liquidity based on the Modern Portfolio Theory, heuristic judgment method and effect of herding. This path is relatively fast and a short-term effect.This article uses vector Autoregression Model, Granger Causality test, Impulse Response function, Variance Decomposition and GARCH-BEKK. This article does an empirical study on the impact of international commodity market on stock market in China through the path of real economy. Then this article finds that international commodity market will incur imported inflation to China. Then international commodity market will have a negative impact on stock market in China indirectly. However, this path is lagged relatively. This article also does an empirical study on the impact of international commodity market on stock market in China through the path of financial market linkage. Then this article finds that there is no relationship between stock market in China and international commodity market before share segregation reform. However, international commodity market has an mean overflow impact and volatility spillover impact on stock market in China after share segregation reform. Because the two market are affected by rapid flow of fund and effect of herding after share segregation reform. At last, this article makes an real explanation for the results of the empirical study. Meanwhile, this article puts forward some corresponding policy recommendations.

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