A Study on the Dynamic Conditional Correlation Between International Oil, Gold, and Chinas Stock Markets

In the context of globalization, Chinas stock market (CSM) is increasingly impacted by the risks in international financial markets, especially the two important commodities, oil and gold. This article started from the perspective of stock market styles and used the model to explore the dynamic conditional correlation between international oil, gold markets, and CSM. The study found a positive mean dynamic conditional correlation (DCC) between the international oil market and CSM, which is heterogeneous for different market styles. On average, Oil price shocks are more correlated with large-cap, value, and dividend stocks. After further dividing the sample interval, the study found that during the occurrence of external shocks, the DCC between assets generally increases. As for gold, the research also found a positive mean DCC between the international gold market and CSM, which expands when external shocks occur as well, failing to reflect its hedging properties. The research not only enriches the understanding of the linkage mechanism among financial markets but also provides an empirical basis for investors to formulate more precise risk management and investment strategies in the changing international market environment.