The Spillover Effect of the International Commodity Market on China’s Financial Market: Discussing the Impact of the Russia-Ukraine Conflict

Chengliang Peng, Li Ma and Yan Zhang

Emerging Markets Finance and Trade, 2025, vol. 61, issue 15, 4960-4974

Abstract: This paper uses the VAR-GARCH-BEKK model, DY spillover index, and event study method to measure the yield spillover effect and volatility spillover effect of international commodity market on China’s stock market, exchange rate market and bond market, and tests the impact of the conflict between Russia and Ukraine. The findings show some interesting results. First, the international commodity market has a yield spillover effect on China’s financial market; that is, the rise of the international commodity price leads to the rise of China’s stock market price, the appreciation of the RMB exchange rate, and the decline of the bond price. Second, the international commodity market has a volatility spillover effect on China’s financial market, which is the largest for the stock market, followed by the exchange rate market, the smallest for the bond market, and the spillover effect is time-varying. Thirdly, the conflict between Russia and Ukraine will significantly increase the volatility spillover effect of the international commodity market on China’s bond market.

Date: 2025
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DOI: 10.1080/1540496X.2025.2547755

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