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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 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:
1
Bodie, Z., Kane, A., & Ma cus, A. (2018). In es men s (11 h ed.). McG aw-Hill Educa ion.
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• 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 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.
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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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 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
.
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Wo ld Bank. (2023). Global Economic P ospec s. Washing on, D.C.
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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 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.
5
h ps:// u. ading iew.com/cha
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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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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 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
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h ps:// u. ading iew.com/cha /0 3E75 F/?symbol=BINANCE%3ALTCUSDT.P
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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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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 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.
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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.
6. h ps:// u. ading iew.com/cha /0 3E75 F/?symbol=BINANCE%3ALTCUSDT.P
