Abstract
This study examines commodity financialization in China through commodity futures and stock market price co-movement, captured by a dynamic conditional correlation multivariate GARCH model (DCC-MGARCH). We find a dramatic increase in correlation after 2004; however, after 2010, the correlation decreases. We further investigate how funding liquidity affectes commodity financialization and find that its effect on the industrial sector is stronger than that on the agricultural sector, which reflects commodity financialization layering.
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