Ok I bought a few Randgold shares a while ago hoping for a rebound in the price of Gold…anyhow I just wanted to make sure I bough gold. So here a quick analysis of the relationship between the share price of RandGold price and the Gold Spot Price GBP
The below chart shows the cumulative percentage return both for the RandGold price and the Gold Spot Price GBP . Clearly the relationship has been positive over time.
The rolling 52-week correlation confirms that though time varying, has been strongly positively correlated.
The below plot is a bi-density chart of the RandGold Share price versus the Gold Spot Price GBP. The contour lines delimit the empirical joint distribution. The blue line is the best fit derived from a locally weighted scatterplot smoothing. The dotted red lines delimit the quantiles for the RandGold price. Whilst depicting the direction of the relationship, this chart aims also to answer the question: Does the RandGold share price tend to appreciate/depreciate more depending on which level Gold Spot Price GBP is trading. The cross-hair shows where the stock trade relative to the Gold Spot Price GBP
Finally I compute a granger causality test over a rolling period of 52-week in order to investigate the possibility of a one step ahead lead / lag relationship between RandGold price and the Gold Spot Price GBP share price. The two below charts show the rolling P Values of the test for both the share causing the RandGold price and vice versa.