This paper through the establishment of China's gold prices, the relationship between China's inflation rate, Lu 300 Index and China's economic growth between these four variables, the results between these four variables correlation. Through empirical analysis, exploring Chinese gold prices and China's inflation rate, Lu 300 Index, China's economic growth between correlation and make some explanation of its reasons. In this paper, taking the logarithm method to eliminate variables heteroscedasticity, and then the variable unit root test sequences to determine the order of a single integer variable sequence to determine whether these four variables cointegration test can be done, and then the variable sequences cointegration regression between variables to determine whether it is spurious regression, the final regression equation with variable sequence OLS method, to get Chinese gold prices and China's inflation rate, China's economic growth were tested positive relationship with Lu 300 Index was no significant correlation . And most of the results of the analysis show that the price of gold and foreign inflation rates has a positive correlation between GDP and the stock market has a negative correlation between the conclusions differ.