Estimating optimal hedging ratio and hedging efficiency in China's stock market

This paper examines the risk spillover mechanism between China's stock market and international commodity markets using selected industry data series on soybean copper, gold, silver, sugar, crude oil. Based results of this analysis, a DCC-GARCH model is used to describe dynamic correlation, build hedging model, calculate efficiency, evaluate effect. According findings, industrial optional consumer industries are primary receiving markets, while energy finance export markets. The crash in 2015 COVID-19 epidemic 2020 made China’s surge. On average, copper most efficient hedge, followed by commodities such as gold soybeans less effective, will continue be good hedge for Chinese coming months.