Inter-tržní přístup k analýze komoditních, akciových, dluhopisových a měnových trhů USA

Abstract

The paper examines the basic intermarket model of the four traditional capital asset classes. The model is created by using four most widely followed global market indices S&P 500, R/J CRB, 30-Year US Treasury Bond Price and Dollar Index. Relative performances of those leading global benchmarks are calculated from monthly adjusted close prices and used in product momentum correlations to reflect the statistical significance of the observed empirical results. Dividend yields are not considered in calculations. The selected fifteen year time period allow the user to investigate performances of the four different capital markets during the different economic phases including economic prosperity, economic slowdown or economic turndown phase and indicate how they interrelate. The research identified statistically significant positive correlation between indexes S&P 500 and US Dollar Index in the Faze2, statistically significant negative correlation between indexes 30-Year US Treasury Bond Price and R/JCRB during the Faze4 and finally statistically significant negative correlation between indexes R/J CRB and US Dollar Index during the Faze4 at the 95,0 % confidence level. In other cases and fazes statistically significant non-zero correlations were detected. The research work results are beneficial for the areas of sector rotation, tactical asset allocation and carry trade. © University of Pardubice, 2014.