ANALYZING THE CORRELATION AMONG S&P 500 INDEX, THE 30-YEAR US TREASURY BOND PRICE, COMMODITY RESEARCH BUREAU INDEX, AND USD INDEX IN THE PERIOD OF GLOBAL FINANCIAL CRISIS (2007-2010)

Abstract

The Global Financial Crisis is already causing a considerable slowdown in most developed countries. The financial crisis was triggered by liquidity shortfall in the United States banking system in 2009. The Objective of this research is to determine the correlation between S&P 500 index, the 30-year US Treasury bond price, CRB index, and USD index. Also, to know why the index has great increasing / decreasing, and what are the causes of the index that can make the index has great increasing / decreasing. The importance of this study are to give information to people who didn’t know anything about Global Financial Crisis, to give information about trading market to the investor, and as a reference for another researchers that research about this study. The samples data that will be used is secondary data that the researcher gets from website. In this study, the researcher will used Partial Correlation as statistical tools and will be performed with SPSS 19. This research using monthly data from January 2007 until December 2010 for each variable. Results from this research indicate that the all variables have correlation with one another, and give effect to one another. So, if other variable is down, other variables will be down too, for example: if S&P 500 index is down, the other index like the 30-year US Treasury bond price, CRB index, and USD index will be down too.