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SHIFTING CORRELATION STRUCTURES IN FINANCIAL MARKETS:
GOLD, OIL, EQUITIES, AND BITCOIN
Pi naza o E naza Daule iya o ich
Tashken S a e Uni e si y o Economics Mas e s deg ee
Email: ee [email p o ec ed]om
In oduc ion
The inc easing in eg a ion o global economies has s eng hened he in e dependence
o inancial ma ke s. Shocks o igina ing in one sec o o egion o en ansmi apidly
ac oss bo de s, in luencing asse p ices and in es o sen imen wo ldwide. This
phenomenon has been pa icula ly e iden du ing majo inancial c ises, when
in es o s simul aneously ealloca e hei po olios ac oss equi ies, bonds,
commodi ies, and al e na i e asse s such as c yp ocu encies. Unde s anding
co ela ions be ween inancial ma ke s is he e o e o c ucial impo ance o
policymake s, ins i u ional in es o s, and p i a e ade s.
The aim o his s udy is o analyze he na u e and s eng h o co ela ions be ween key
inancial ma ke s, wi h a special ocus on gold, he U.S. dolla index (DXY), c ude oil,
s ock ma ke indices (S&P 500, Nasdaq), and Bi coin. The pe iod o analysis co e s
2015–2025, which allows he inclusion o se e al impo an mac oeconomic shocks,
including he 2015–2016 oil c isis, he COVID-19 pandemic, and he subsequen
eco e y ma ked by mone a y igh ening in 2022–2023.
The objec i es o his a icle a e h ee old:
1. To de ine and concep ualize co ela ion in inancial heo y.
2. To empi ically e alua e he co ela ions be ween selec ed inancial ins umen s.
3. To discuss he implica ions o hese ela ionships o isk managemen and
in es men s a egies.
Keywo ds: Financial ma ke s, co ela ion, gold, U.S. dolla , oil, S&P 500, Nasdaq,
Bi coin, di e si ica ion, isk managemen
Theo e ical Founda ions
In inance, co ela ion is a s a is ical measu e ha desc ibes he deg ee o which wo
a iables mo e in ela ion o each o he . I is mos commonly quan i ied by he Pea son
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co ela ion coe icien , which anges om –1 o +1
1
. A alue close o +1 indica es a
s ong posi i e co ela ion, meaning ha asse s end o mo e in he same di ec ion.
Con e sely, a alue nea –1 implies a s ong nega i e co ela ion, meaning ha asse s
end o mo e in opposi e di ec ions. Th ee p incipal ypes o co ela ion a e ele an
o inancial ma ke s:
• Posi i e co ela ion: When wo asse s inc ease o dec ease simul aneously. Fo
example, he S&P 500 and he Nasdaq Composi e gene ally exhibi a s ong posi i e
co ela ion due o hei sha ed dependence on he U.S. economy and echnology sec o
pe o mance.
• Nega i e co ela ion: When one asse ises while ano he alls. A classic
example is he ela ionship be ween he U.S. dolla index and gold p ices.
• Low o no co ela ion: When wo asse s mo e independen ly o each o he .
Some eme ging ma ke cu encies and c yp ocu encies ha e his o ically shown weak
co ela ions wi h de eloped ma ke equi ies.
F om a me hodological pe spec i e, co ela ion analysis is widely used in po olio
heo y, especially wi hin he amewo k o mode n po olio heo y. In es o s seek o
combine asse s wi h low o nega i e co ela ions in o de o maximize di e si ica ion
and educe o e all isk. Mo e ad anced econome ic echniques, such as olling
co ela ion, ec o au o eg ession (VAR), and copula models, a e o en employed o
cap u e dynamic ela ionships ha change o e ime
2
.
Empi ical Analysis o Ma ke Co ela ions (2015–2025)
Gold and he U.S. Dolla Index (DXY)
The ela ionship be ween gold and he U.S. dolla index emains one o he mos
s udied examples o nega i e co ela ion in inancial ma ke s. Gold is p iced in U.S.
dolla s, which c ea es an in e se dynamic: when he dolla s eng hens, gold ends o
lose alue, as i becomes mo e expensi e o non-dolla in es o s Empi ical s udies
co e ing 2015–2025 con i m ha his nega i e co ela ion pe sis s, al hough i s
magni ude luc ua es ac oss ime. Du ing pe iods o inancial s ess, such as he
COVID-19 pandemic in 2020, he in e se ela ionship in ensi ied, as in es o s led
owa ds sa e-ha en asse s. Con e sely, in imes o economic s abili y, he s eng h o
1
Bodie, Z., Kane, A., & Ma cus, A. (2018). In es men s (11 h ed.). McG aw-Hill Educa ion.
2
Engle, R. (2002). Dynamic condi ional co ela ion: A simple class o mul i a ia e GARCH models.
Jou nal o Business & Economic S a is ics, 20(3), 339–350.
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he co ela ion weakens, e lec ing he impac o o he mac oeconomic ac o s such as
in la ion expec a ions and mone a y policy.
Ano he impo an ac o shaping his ela ionship is U.S. Fede al Rese e policy.
Pe iods o mone a y igh ening, such as he in e es a e hikes in 2018 and again in
2022–2023, s eng hened he dolla and pu downwa d p essu e on gold p ices. In
con as , expansi e mone a y policy—cha ac e ized by nea -ze o in e es a es and
la ge-scale asse pu chases du ing 2020–2021—suppo ed gold’s ally o his o ical
highs abo e $2,000 pe ounce. Fu he mo e, in la ion expec a ions o en ac as a
media ing a iable: highe in la ion educes he eal e u n on dolla -denomina ed
asse s, inc easing he a ac i eness o gold as a s o e o alue.
Figu e 1: Co ela ion o Gold wi h U.S. Dolla (2015-2025)
3
. Yellow line is Gold and
Red line is U.S. Dolla .
C ude Oil and S ock Ma ke Indices (S&P 500, Nasdaq)
C ude oil p ices ha e a signi ican impac on s ock ma ke s, pa icula ly in he Uni ed
S a es, gi en he economy’s dependence on ene gy consump ion. The co ela ion
be ween c ude oil (WTI and B en ) and s ock indices such as he S&P 500 and Nasdaq
is gene ally posi i e, bu i is highly sensi i e o he mac oeconomic con ex . Howe e ,
du ing he oil p ice collapse in 2015–2016, s ock ma ke s showed esilience, leading
o a empo a y b eakdown in he co ela ion. In 2020, when he oil ma ke expe ienced
an unp eceden ed c ash wi h u u es ading a nega i e p ices, he co ela ion
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empo a ily u ned nega i e, highligh ing he excep ional condi ions o ha c isis.
F om 2021 o 2023, as he global economy eco e ed and ene gy demand su ged, oil
and s ock indices again mo ed in andem, ein o cing hei posi i e ela ionship
4
.
Figu e 2: Co ela ion o S&P 500 wi h B en C ude Oil(2015-2025)
5
Bi coin and T adi ional Ma ke s
Bi coin has eme ged as a unique asse class o e he pas decade, a ac ing inc easing
a en ion om bo h ins i u ional and e ail in es o s. Ini ially, Bi coin was conside ed
la gely unco ela ed wi h adi ional inancial ma ke s, which ein o ced i s epu a ion
as a di e si ica ion ool. Howe e , om 2018 onwa ds, and pa icula ly du ing he
pandemic yea s, Bi coin’s co ela ion wi h majo s ock indices such as he S&P 500
and Nasdaq began o inc ease signi ican ly. F om 2020 o 2022, Bi coin demons a ed
a s ong posi i e co ela ion wi h echnology s ocks, pa icula ly hose ep esen ed in
he Nasdaq index, as bo h asse classes became highly sensi i e o mone a y policy
decisions and liquidi y condi ions
6
. While some pe iods sugges ed ha Bi coin migh
4
Wo ld Bank. (2023). Global Economic P ospec s. Washing on, D.C.
5
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Bau , D.G., Hong, K., & Lee, A.D. (2018). Bi coin: Medium o exchange o specula i e asse s? Jou nal
o In e na ional Financial Ma ke s, Ins i u ions and Money, 54, 177–189.
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unc ion as a “digi al gold,” he da a om 2015–2025 e eal ha Bi coin is a mo e
ola ile and less eliable as a sa e ha en compa ed o adi ional gold ma ke s.
Figu e 3: Co ela ion o Nasdaq Index wi h Bi coin (2020-2025)
7
Summa y o Findings
The empi ical e idence om 2015–2025 highligh s se e al key poin s. Fi s , he gold–
dolla ela ionship emains a ex book example o s able nega i e co ela ion,
in ensi ying du ing imes o c isis. Second, oil and s ock ma ke s gene ally mo e
oge he , hough he s eng h and di ec ion o his co ela ion depend hea ily on he
mac oeconomic con ex . Thi d, Bi coin has ansi ioned om being la gely
unco ela ed o becoming mo e closely ied o equi y ma ke s, pa icula ly echnology-
d i en indices, educing i s alue as a di e si ica ion ins umen . These indings
illus a e he dynamic na u e o inancial ma ke co ela ions and hei sensi i i y o
global e en s, mone a y policy, and in es o beha io .
Discussion
The indings o his s udy unde sco e he complexi y and dynamism o inancial
ma ke co ela ions. Fi s , he nega i e co ela ion be ween gold and he U.S. dolla
con i ms gold’s s a us as a adi ional hedge agains cu ency luc ua ions and
mac oeconomic unce ain y. Howe e , he in ensi y o his co ela ion a ies
depending on global inancial condi ions. Fo example, du ing he COVID-19
pandemic in 2020, in es o s in ensi ied hei demand o gold as a sa e ha en, leading
7
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o s onge in e se mo emen s ela i e o he dolla
8
.
Second, he oil–equi y ela ionship illus a es how co ela ions can shi depending on
he balance be ween supply shocks and demand shocks. When oil p ices ise due o
s onge global demand, s ock ma ke s o en ally simul aneously, e lec ing highe
expec ed co po a e ea nings. Con e sely, when oil p ice ola ili y is d i en by supply
dis up ions o geopoli ical e en s, highe ene gy cos s may dep ess equi y
pe o mance, leading o weake o e en nega i e co ela ions.
Thi d, Bi coin’s e olu ion highligh s how new asse classes g adually in eg a e in o
he b oade inancial sys em. Ini ially unco ela ed, Bi coin’s inc easing alignmen
wi h equi ies—pa icula ly echnology s ocks—sugges s ha i is inc easingly
pe cei ed as a specula i e isk asse a he han an independen s o e o alue. This
con e gence educes i s di e si ica ion bene i s, challenging he na a i e o Bi coin
as “digi al gold”.
O e all, he esul s demons a e ha co ela ions a e no s a ic bu con ex -dependen .
In es o s elying on his o ical ela ionships o isk managemen mus conside how
co ela ions e ol e in esponse o c ises, policy shi s, and inno a ions in inancial
ma ke s.
Conclusion
This a icle has examined he co ela ions be ween majo inancial ma ke s—gold
and he U.S. dolla , c ude oil and equi y indices, and Bi coin and adi ional asse s—
o e he pe iod 2015–2025. The analysis con i ms h ee cen al conclusions.
1. Gold emains a consis en hedge agains he dolla , especially in imes o
inancial ins abili y, ea i ming i s sa e-ha en ole.
2. Oil and equi y co ela ions a e highly sensi i e o mac oeconomic con ex ,
wi h posi i e ela ionships du ing demand-d i en booms and weake o nega i e
linkages du ing supply shocks.
3. Bi coin has ansi ioned om being an unco ela ed asse o one ha
inc easingly mi o s equi y ma ke s, pa icula ly in pe iods o abundan liquidi y,
he eby educing i s e ec i eness as a po olio di e si ie .
These indings ha e impo an implica ions o po olio managemen . They sugges
ha di e si ica ion s a egies mus be dynamic, con inuously adjus ing o e ol ing
8
Rebo edo, J.C. (2013). Is gold a hedge o sa e ha en agains oil p ice mo emen s? Ene gy Economics,
40, 38–49.
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ma ke condi ions. Mo eo e , hey highligh he need o policymake s and
ins i u ional in es o s o moni o c oss-ma ke linkages as po en ial channels o
sys emic isk.
Fu u e esea ch should ex end he analysis by applying ad anced econome ic models
such as ime- a ying copulas and machine-lea ning–based p edic i e analy ics. Such
app oaches would help cap u e nonlinea i ies and s uc u al b eaks in co ela ions,
especially as new asse classes such as digi al cu encies and ca bon c edi s gain
p ominence in global po olios.
Re e ences
1. In e na ional Mone a y Fund (IMF). (2023). Wo ld Economic Ou look:
Na iga ing Global Di e gences. Washing on, D.C.
2. Bodie, Z., Kane, A., & Ma cus, A. (2018). In es men s (11 h ed.). McG aw-Hill
Educa ion.
3. Engle, R. (2002). Dynamic condi ional co ela ion: A simple class o
mul i a ia e GARCH models. Jou nal o Business & Economic S a is ics, 20(3), 339–
350.
4. Wo ld Bank. (2023). Global Economic P ospec s. Washing on, D.C.
5. Bau , D.G., Hong, K., & Lee, A.D. (2018). Bi coin: Medium o exchange o
specula i e asse s? Jou nal o In e na ional Financial Ma ke s, Ins i u ions and
Money, 54, 177–189.
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T.P
