| Issue |
E3S Web Conf.
Volume 403, 2023
XII International Scientific and Practical Forum “Environmentally Sustainable Cities and Settlements: Problems and Solutions” (ESCP-2023)
|
|
|---|---|---|
| Article Number | 08013 | |
| Number of page(s) | 6 | |
| Section | Development of Sustainable Cities: Economic, Social and Humanitarian Aspects | |
| DOI | https://doi.org/10.1051/e3sconf/202340308013 | |
| Published online | 25 July 2023 | |
The effect of interaction between international commodity markets and the Chinese stock market
1 Southern Federal University, Rostov on Don, Russia
2 Rostov State University of Economics (RINH), Rostov on Don, Russia
3 Moscow State University of Civil Engineering, Moscow, Russia
4 Russian University of Transport (MIIT), Moscow, Russia
5 Financial University under the Government of the Russian Federation, Moscow, Russia
* Corresponding author: nauka1717@mail.ru
In light of COVID-19 and the extent of global economic interdependence, it is essential to understand risk spillover effects between China's stock market and international commodity market in order to optimize risk control and management and provide early warning. The aim of this research is to examine the spillover mechanisms between the Chinese stock market and the global commodity market using data from eleven specific industries. The results show that the Risk Spillover index of industrial and optional consumer industries in China's stock market is relatively high. This industry is more vulnerable to fluctuations in the international commodity market and is the main risk spillover industry; The energy and financial industries have great risk spillover effects on the international commodity market. The volatility spillovers between the Chinese stock market and the international commodity market are asymmetric: the Chinese stock market is mainly affected by the risk spillovers from gold and silver, while the international commodity market is mainly affected by the risk spillovers from the real estate, energy, and financial sectors. The results of this analysis can be used in future works to develop a risk hedging model to examine how bulk commodities differ in terms of portfolio weight, hedging ratio, and hedging efficiency.
Key words: International commodity market / Stock market / Spillover index / Spillover effect / Risk hedging
© The Authors, published by EDP Sciences, 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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