Analysis of the Correlation between Gold-Oil Ratio and Capital Market-Reference-Cited by-同舟云学术

Analysis of the Correlation between Gold-Oil Ratio and Capital Market

Published:2023-06-08 Issue: Volume:46 Page:98-105
ISSN:2692-6156
Container-title:BCP Business & Management
language:
Short-container-title:BCPBM

Author:

Guo Ziyi

Abstract

Based on the phenomenon that the ratio of gold to oil soared to 200, this paper selects the CSI 300 index and the S&P 500 index as the representatives of the Chinese and American capital markets, respectively. Specifically, VAR model is used for empirical analysis. Through unit root test, confirmation of lag order, impulse response analysis and Granger causality test, it is concluded that there exists a correlation between gold-oil price and Chinese and American capital markets. At the same time, the fluctuation of gold - oil price has a hysteretic effect on Chinese and American capital markets. Therefore, investors can predict the risks of the capital market according to the fluctuation of the ratio of gold to oil, so as to formulate or change the investment strategy to reasonably avoid risks.

Publisher

Boya Century Publishing

Reference10 articles.

1. Li P.C. Fluctuation Impact Analysis of Gold-oil Ratio on Sino-US Stock Market. Shandong University, 2017 (Thesis for master's degree).

2. Jiang W.J. Research on The Co-movement of Gold-oil Ratio Fluctuation and Stock Market-- Based on The Empirical Analysis of Chinese and American Capital Markets. China Collective Economy, 2022(03): 109-111+141.

3. Gao Y.B., Yang R.H. Research on The Relationship Between Financing Transactions and Stock Market Volatility--An empirical Analysis Based on 300 Sample Data of Shanghai and Shenzhen Stock Exchange and VAR Model. China Collective Economy, 2021(05): 80-81.

4. Guo J.H. Warning Signs of Rising Gold-oil Ratio. Chinese gold news, 2023.

5. Shi J.L., Li Y.S. The Gold - oil Ratio Predicts the Economic Cycle. Chinese gold news, 2021.