With the rapid expansion of the RMB exchange rate’s floating range,the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase.This study uses both auto reg...With the rapid expansion of the RMB exchange rate’s floating range,the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase.This study uses both auto regressive distributed lag(ARDL)and nonlinear ARDL(NARDL)approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices.Our findings show that without considering the critical variable of global commodity prices,there is no cointegration relationship between the RMB exchange rate and China’s stock prices,and the coefficient of the RMB exchange rate is not statistically significant.However,when we introduce global commodity prices into the NARDL model,the result shows that the RMB exchange rate has a negative effect on China’s stock prices,that there indeed exists a long-run cointegration relationship among the RMB exchange rate,global commodity prices,and stock prices in the NARDL model,and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run.Specifically,China’s stock prices are more sensitive to increases than decreases in global commodity prices.Thus,increases in global commodity prices cause China’s stock prices to decline sharply.In contrast,the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.展开更多
This study explores correlations and risk spillovers,essential concepts for financial risk management,among commodities(crude oil,gold,and a global commodities index)and emerging stock markets.Using the Asymmetric Dyn...This study explores correlations and risk spillovers,essential concepts for financial risk management,among commodities(crude oil,gold,and a global commodities index)and emerging stock markets.Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk(ADCC-CoVaR)model and a bootstrapped Kolmogorov–Smirnov(KS)test,we analyze the period from December 30,2005,to February 28,2024,examining correlations,downside and upside risk spillovers,and highlighting the effects of major events such as the global financial crisis of 2008,the COVID-19 pandemic,and the Russia-Ukraine war.The results show heightened correlations during crises and significant risk spillovers across market pairs,with downside risks often outweighing upside risks.Gold displays minimal risk spillover,highlighting its unique role as a haven asset.We find that spillovers between gold,global commodities,and stocks increased during the pandemic and the Russia-Ukraine conflict,while those involving crude oil remained stable.These findings provide valuable guidance for portfolio managers in navigating volatile markets.展开更多
基金supported by the Fundamental Research Funds for the Central Universities(2019CDSKXYGG0042,2018CDXYGG0054,2020CDJSK01HQ01)National Social Science Funds(16CJL007).
文摘With the rapid expansion of the RMB exchange rate’s floating range,the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase.This study uses both auto regressive distributed lag(ARDL)and nonlinear ARDL(NARDL)approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices.Our findings show that without considering the critical variable of global commodity prices,there is no cointegration relationship between the RMB exchange rate and China’s stock prices,and the coefficient of the RMB exchange rate is not statistically significant.However,when we introduce global commodity prices into the NARDL model,the result shows that the RMB exchange rate has a negative effect on China’s stock prices,that there indeed exists a long-run cointegration relationship among the RMB exchange rate,global commodity prices,and stock prices in the NARDL model,and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run.Specifically,China’s stock prices are more sensitive to increases than decreases in global commodity prices.Thus,increases in global commodity prices cause China’s stock prices to decline sharply.In contrast,the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.
文摘This study explores correlations and risk spillovers,essential concepts for financial risk management,among commodities(crude oil,gold,and a global commodities index)and emerging stock markets.Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk(ADCC-CoVaR)model and a bootstrapped Kolmogorov–Smirnov(KS)test,we analyze the period from December 30,2005,to February 28,2024,examining correlations,downside and upside risk spillovers,and highlighting the effects of major events such as the global financial crisis of 2008,the COVID-19 pandemic,and the Russia-Ukraine war.The results show heightened correlations during crises and significant risk spillovers across market pairs,with downside risks often outweighing upside risks.Gold displays minimal risk spillover,highlighting its unique role as a haven asset.We find that spillovers between gold,global commodities,and stocks increased during the pandemic and the Russia-Ukraine conflict,while those involving crude oil remained stable.These findings provide valuable guidance for portfolio managers in navigating volatile markets.
