Dynamic connectedness between China's commodity markets and China's sectoral stock markets: A multidimensional analysis

Considering the heterogeneity of China's different sectoral stock markets, this paper adopts the time‐domain spillover index model, extreme spillover index model, and frequency‐domain spillover model to analyse the spillover effects of China's commodity and sectoral stock markets under normal conditions, extreme conditions, and frequency‐domain conditions. The empirical results highlight three interesting and noteworthy aspects for investors and regulators: first, the spillover behaviours of China's sectoral stock markets reveal significant heterogeneity. The Energy, Materials, Industries, Optional, Consumption, Information, and PublicUtilities markets are net transmitters, while the Pharmaceutical, Finance, and Telecom ones are net receivers. Second, the spillover effects between China's commodity and sectoral stock markets are enhanced under extreme conditions and are approximately 18.49% higher than those under normal conditions, and there is asymmetry between left‐tail and right‐tail spillovers, which was observed during China's stock market crash. Finally, the spillover effect between China's commodity and sectoral stock markets is dominated by short‐term spillovers, and there is a positive correlation between short‐term and long‐term spillovers.