Analyze the Correlation of return rate of gold and crude oil price in Bullish and Bearish Market Situations
Keywords:
Correlation analysis, Crude oil, Return rate of gold, Bullish marketAbstract
The purpose of this research was to analyze the relationship between the gold return rate and crude oil price. in an bullish market and a bearish market to compare a different of the correlation of the gold return rate and crude oil price in different situations. In this research, the Markov Switching Kink model was applied, crude oil price and the gold price in the world market from 01/01/2010 – 28/02/2022 was used. The result shown that, the return of crude oil during that period was mostly in an bullish market condition. The correlation between the return rate of crude oil and the return rate of gold in an bullish market is correlated in the same direction, no matter what the return rate of gold was. In bearish market conditions, the correlation between the return rate of gold and crude oil price is inversely correlated when the return rate of gold is less than 0.0051 and in the same direction when the return rate of gold is greater than 0.0051.
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