AN EMPIRICAL INVESTIGATION INTO THE CORRELATION BETWEEN RAND CURRENCY INDICES AND CHANGING GOLD PRICES

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F.Y. Jordaan, J.H. Van Rooyen

DOI:10.22495/cocv9i1c1art2

Abstract

This study sets out to investigate the relationship between two South African Rand currency indices, ZARX and RAIN, in relation to the gold prices. The ZARX is computed with the formula used to determine the USD currency index (USDX) with the latter being developed by the JSE. Albeit sets of variables have been investigated to determine if any long term relationships exist using the theory of co-integration. The findings suggest that there is no co-integrating relationship between the South African Rand currency indices and the gold price changes over the research period.

Keywords: ZARX, Correlation, Gold Price, Unit-Root Test, Co-integration, Granger Causality

How to cite this paper: Jordaan, F. Y., & Van Rooyen, J. H. (2011).
An empirical investigation into the correlation between rand currency indices and changing gold prices. Corporate Ownership & Control, 9(1-1), 172-183. http://dx.doi.org/10.22495/cocv9i1c1art2