Commodity and stock price index selection.

In recent years, the international community has witnessed many crisis events, and the Russia-Ukraine war, which broke out on 24th February 2022, has increased international policy uncertainty and impacted the current world commodity and financial markets. Thus, we try to capture how the Russia-Ukraine war has affected the correlation structure of international commodity and stock markets. We study six groups of commodity daily returns and one group of stock daily returns and select the sample from 24th February 2022 to 1st June 2022 as the sample during the Russia-Ukraine war; in addition, we select the sample from 1st December 2019 to 31st December 2020 as the sample during COVID-19 control group, and the sample from 1st January 2014 to 31st December 2017 as the non-extreme event control group, to explore the correlation structure of international commodity and stock markets before the war, and to compare and uncover the impact of the uncertain event of the Russia-Ukraine war on the commodity and stock markets. In this paper, the marginal density function of each series is constructed using the ARMA-GARCH-std method, and the R-Vine copula model is built based on the marginal density function to analyze the correlation relationship between each market. From the Tree1 of the Vine copula, it is found that crude oil becomes the core connecting each commodity market and the stock market during the Russia-Ukraine war. The price fluctuations of crude oil may be contagious to agricultural and precious metal markets in the same direction, while the stock market price fluctuations are inversely correlated with commodity markets. Comparison with the selected control group sample reveals that the Russia-Ukraine war increases the correlation between the markets and enhances the possibility of risk transmission. The core of the correlation structure shifts from agricultural commodities and precious metals to crude oil after the Russia-Ukraine war.

近年来，国际社会频发各类危机事件，2022年2月24日爆发的俄乌冲突进一步加剧了全球政策不确定性，并对当前世界大宗商品与金融市场造成冲击。据此，本研究旨在探究俄乌冲突对国际大宗商品与股票市场的相关性结构产生的影响。本研究选取六组大宗商品日收益率与一组股票日收益率作为研究对象：以2022年2月24日至2022年6月1日作为俄乌冲突期间的样本区间；以2019年12月1日至2020年12月31日作为新冠疫情对照组样本区间；以2014年1月1日至2017年12月31日作为非极端事件对照组样本区间，以此探究战前国际大宗商品与股票市场的相关性结构，并通过对比分析揭示俄乌冲突这一不确定性事件对大宗商品及股票市场的影响。本文采用ARMA-GARCH-std方法构建各序列的边缘密度函数，并基于该边缘密度函数构建R-Vine Copula模型，以分析各市场间的相关性关系。通过Vine Copula模型的第一棵树（Tree1）分析发现，在俄乌冲突期间，原油成为连接各大宗商品市场与股票市场的核心节点。原油价格波动可同向传导至农产品与贵金属市场，而股票市场价格波动则与大宗商品市场呈负相关关系。与选取的对照组样本对比后可知，俄乌冲突提升了各市场间的相关性，增强了风险传导的可能性。俄乌冲突后，市场相关性结构的核心节点从农产品与贵金属转向原油。