Abstract: Based on the mechanism of theoretical interaction between stock markets and bulk commodity markets, this paper selectes the stock markets in mainland China, Hong Kong and the U.S. and the international bulk commodity markets of gold, oil and copper markets as research subjects and constructs a VAR-TGARCH-AG-DCC multielement model to test and compare the interactive characteristics between stock markets and bulk commodity markets from the dimensions of the mean value spillover effects and the dynamic correlations. The results show that in the markets of the three bulk commodities, the gold market has the obvious function of risk diversification, its correlation with stock markets keeps low; the oil and copper markets are moving faster in the course of de-financialization under the impact of the financial crisis, their co-movement with the stock markets is increasing significantly in the post-crisis era. As for the interactive difference between the stock markets of China and U.S.A. and the bulk commodity markets, the information transmission and interaction between the U.S. stock markets and commodity markets are most significant, while the co-movement characteristics between the stock markets in China’s mainland and Hong Kong and the bulk commodity markets are relatively weaker. This is not only an important signal of the ever-intensifying depth and breadth of China’s capital market, but also a requirement for us to pay more attention to prevent inter-market risk contagion, strengthen financial supervision, and maintain the coordinate development between stock markets and bulk commodity markets.

Key words: stock market; bulk commodity market; interactive characteristics; VAR-TGARCH-AG-DCC model