Analysis of the Correlation between Gold-Oil Ratio and Capital Market
DOI:
https://doi.org/10.54691/bcpbm.v46i.5083Keywords:
Gold-oil ratio; CSI 300; S&P 500; VAR.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.
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