I would like to calculate two stocks correlation for a specific time range. I am simply taking a daily returns of both stocks and then applying correlation function.
Should I use "Close" price or "Adjusted Close" price to get a daily return? I understand the meaning of "Adjusted Close", however I get quite different results on a different pair of stocks.
For example for a pair GLD - AAPL using "Open" and "Close" prices between 2019-04 and 2020-04 I get
-0.240. Using "Open" and "Adjusted Close" for the same period I get
However, for some other stocks results are completely different. E.g. DANSKE.CO and RBREW.CO using "Close" and "Open" I get
0.008, but using "Adjusted Close" I get