Dynamic correlation between selected world major stock markets and commodity markets.

This thesis studies the dynamic correlation between price variation of bulk international commodities and major stock markets. Dynamic conditional correlation (DCC) multivariate GARCH model is used to analyze the volatility spillover effect between world major indexes and bulk commodities prices from January 1st, 2003 to December 31st, 2012, for petroleum, copper, and aluminum, and China (SSE), USA (S&P 500), Russia (RTS), Australia (S&P/ASX 200), and Canada (S&P/TSX). Moreover, this study investigates whether the 2007 global financial crisis has strengthened or weakened the dynamic correlations between stock markets and commodity markets. The results show that the dynamic correlations between selected world major stock indexes and commodity prices after the financial crisis have increased than that before the crisis, and the trend of integration of world economic volatility is further verified. --Leaf i.