Βραχυπρόθεσμες και μακροπρόθεσμες δυναμικές σχέσεις μεταξύ χρυσού, πετρελαίου και Dow Jones Industrial
Short and long-term dynamic relationships between gold, oil and Dow Jones Industrial
KeywordsDow Jones Industrial Average ; Υπόθεση αποτελεσματικής αγοράς ; West Texas Intermediate ; Oil ; Efficient Market Hypothesis
The purpose of this paper is to examine the short and long-term dynamic relationships between the three very strong assets: gold, oil (WTI) and the stock index Dow Jones Industrial Average, for the period January 2000 to May 2013. Initially, it will be presented a detailed historical recursion for the three variables and how they behave as an investment product. Then, it will be developed the Efficient Market Hypothesis and the forms it takes. Empirical studies have been conducted by various researchers captured and conclusions arising from these instruments. The third chapter will analyze the two modern methods of econometric analysis, Granger causality and Co-integration. The theoretical framework of these econometric methods developed to examine the causal relationship between the three variables both in the short term and in the long term. In other words, this research seeks to identify whether the market is efficient in the period under review and if an investor can make an extra profit. The results are that the market is efficient in large depth and width for that specific period. There are powerless statistical relationships between the three assets and are not able to be used against the market.