INTERDEPENDENCE BETWEEN STOCK MARKET INDEX S&P 500 AND GOLD DURING THE FINANCIAL CRISIS AS THE BASE FOR MACROECONOMIC POLICY DECISIONS

被引：0

作者：

Dobardzic, Eldin ^{[1
]}

Rakic, Biljana ^{[2
]}

机构：

[1] State Univ Novi Pazar, Ctr Sci Res, Novi Pazar, Serbia

[2] Univ Nis, Sch Econ, Nish, Serbia

来源：

ACTUAL PROBLEMS OF ECONOMICS | 2012年 / 131期

关键词：

crisis; correlation; stock market index; gold; causality; CONTAGION; DIVERSIFICATION;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the interdependence between spot daily gold and stock market index S&P 500 price returns during the financial crisis in 3 estimation periods. The first one is the period between 2008-2011. The second one is the period when financial crisis began and includes the 2008-2009 period. And the last period includes 2011 which represents the time when the gold prices achieved the biggest historical values. The results show statisticaly unsignificant values of correlation coefficients for all 3 periods of estimation. Also paper found the unidirectional causality from stock market index S&P 500 to gold for the first and the second estimation periods.

引用

页码：346 / 358

页数：13

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