Correlation Analysis
Julia Maja
Analyzed monthly data from Bloomberg spanning 10 years (July 2012 to June 2022) to determine the correlation between Exxaro Ltd.’s share price and coal prices, USD/ZAR exchange rates.
• Hypotheses: H0 (No correlation), H1 (Positive correlation), H2 (Negative correlation).
• Executed statistical techniques, including Pearson correlation and simple linear regression.
• Identified a moderate positive correlation (r = 0.55) between Exxaro Ltd.’s share price and coal prices.
• Supported H1 with evidence that higher coal prices correspond to increased share prices.
• Regression analysis reinforced findings with positive coal/ZAR coefficient (0.026) and negative USD/ZAR coefficient (-6.56).
Results: Showcased a statistically significant correlation, rejecting H0 and providing evidence against H2, suggesting a negative correlation.
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Posted Feb 15, 2024
Correlation analysis between stock prices and commodities.
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