Related data from "Risk Spillovers between Stock, Oil, and Commodity Markets: Evidence from Dynamics and Frequency Domain"

We use the Wind Commodity Index as a proxy variable for the Chinese commodity market, including seven sub market sub indices. These seven sub markets are non-metallic building materials, grains, precious metals, chemicals, coking coal and steel ore, soft commodities, and non-ferrous metals, respectively, and these data are sourced from the Wind database. The Shanghai and Shenzhen 300 Index covers over 60% of the market value of the Shanghai and Shenzhen stock trading markets. Therefore, in order to better measure the overall situation of the Chinese stock market, we have chosen CSI300 as the proxy index for the Chinese stock market, which is sourced from the CSMAR database. We choose WTI as our proxy variable in the oil market.