中文摘要：

随着商品金融化进程的加快,大宗商品的金融属性也不断凸显,对股票市场的冲击也日益显著。基于风险分散视角,通过构建DCC-MVGARCH模型与MS-VAR模型,对我国铜、铝、豆粕和天然橡胶等四种具有代表性的商品期货的组合投资价值进行了实证检验。结果显示：商品期货对股票资产的风险分散价值出现了分化,金融化程度较高的有色金属、能源化工期货与股票的相关性出现了系统性的上升,其对股票资产的风险分散能力下降,而金融化程度较低的农产品期货则一直与股票保持着低相关性,风险分散能力最好。进一步研究表明,在不同股市状态下,商品期货对股票资产的风险分散效果存在显著差异。

英文摘要：

With the speeding up of commodity financialization,the financial attributes of commodity are also continuously emerging,which impacts on the stock market greatly.From the perspective of risk diversification,this paper uses the methods of DCC-MVGARCH and MS-VAR to empirical study the portfolio investment value of the SHFE copper,SHFE aluminum,DCE soymeal and SHFE rubber.The results show that commodity futures on the risk diversification value of stock assets have divided,high degree of financialization of commodities such as non-ferrous metal and energy chemical futures display a systematic upward movement on the correlation with stock assets,which the ability of risk diversification to stock assets is decreasing,while low degree of financialization of commodities such as agricultural product future has always kept a low correlation with stock assets and the ability of risk diversification is best.Further study shows that in different stock market conditions,risk diversification effect of commodity futures on the stock assets appear significant differences.