The connectedness between natural resource commodities and stock market indices: Evidence from the Chinese economy

Chiu-Lan Chang and Ming Fang

Resources Policy, 2022, vol. 78, issue C

Abstract: Currently, the prices of natural resource commodities are considered as the foremost factor influencing stock market indices, which has attracted the attention of researchers and regulators. Most of the past studies have thrown light on the collective term of natural resources prices without the analysis of individual commodities while determining stock market prices. Therefore, the present study examines the impact of individual natural resources commodities indexes (crude oil, precious metals, livestock, and agriculture products) on the stock market indices in China. Quantitative methods and explored secondary sources such as databases of the Shanghai Stock Exchange and the Goldman Sachs Commodity Index (GSCI) were used. The secondary data from the mentioned databases were extracted from 2001 to 2019. The correlation matrix was used to analyze the correlation among the variables and executed the Augmented Dickey-Fuller (ADF) test to examine the unit root among the variables. The autoregressive distributed lag (ARDL) model was also utilized to test the relationships and execute the granger causality test to check the casualty nexus among the constructs. The findings revealed that natural resources commodities indexes (crude oil, precious metals, livestock, and agriculture products) have a positive linkage with stock market indices in China. This article provides a guideline to policymakers while developing regulations related to the natural resources and stock market indices.

Keywords: Natural resources commodities indexes; Crude oil; Precious metals; Livestock; Agriculture products; Stock market indices (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002896

DOI: 10.1016/j.resourpol.2022.102841

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