Relationship Lab

How a series has moved with others: the correlation of daily changes (% for prices, bp for rates) over 1 and 3 years, the beta, a rolling correlation and whether one tends to move first. Correlation is not causation, and it changes over time.

DCI Indonesia (DCII.JK) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
INDOGB 10YR id10y	0.41	0.13	−0.13	216	−0.04	+0.17 ⇄	−0.04	scatter
DXY dxy	−0.39	−0.18	−0.13	225	−0.08	−0.10	−0.96	scatter
Brent brent	0.35	−0.09	0.00	225	−0.04	−0.06	0.00	scatter
Bitcoin btc	0.35	0.12	0.04	230	0.02	+0.10	0.03	scatter
Emtek (EMTK.JK) EMTK.JK	−0.33	0.03	0.21	244	0.08	−0.04	0.12	scatter
Bukalapak (BUKA.JK) BUKA.JK	−0.30	0.03	0.12	244	0.06	−0.03	0.11	scatter
USD/IDR usdidr	0.30	0.19	−0.04	230	0.01	+0.18	−0.17	scatter
S&P 500 spx	0.24	0.23	0.06	225	−0.02	+0.25 ⇄	0.19	scatter
Gold gold	−0.24	0.31	0.15	225	−0.01	+0.32 ⇄	0.20	scatter
Telkom (TLKM.JK) TLKM.JK	−0.22	−0.17	0.19	244	0.13	−0.30 ⇄	0.16	scatter
JCI (IHSG) jci	0.21	0.20	0.34	226	0.23	−0.03	0.52	scatter
UST 10YR ust10y	0.21	−0.02	−0.10	223	−0.05	+0.03	−0.06	scatter
Metrodata (MTDL.JK) MTDL.JK	−0.20	0.13	0.18	244	0.05	+0.09	0.27	scatter
PHLX Semiconductor (SOX) sox	0.19	0.15	0.06	225	−0.02	+0.16 ⇄	0.05	scatter
Indosat (ISAT.JK) ISAT.JK	0.19	0.24	0.21	244	0.09	+0.15	0.15	scatter
UST 2YR ust2y	0.15	−0.08	−0.06	223	−0.04	−0.04	−0.03	scatter
Nasdaq 100 ndx	0.14	0.18	0.06	225	−0.04	+0.22 ⇄	0.11	scatter
LQ45 lq45	−0.09	0.00	0.29	226	0.11	−0.11 ⇄	0.42	scatter
Copper copper	0.09	0.12	0.11	225	0.04	+0.08	0.16	scatter
Sarana Menara (TOWR.JK) TOWR.JK	−0.05	0.02	0.15	244	0.05	−0.03	0.15	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.00	0.24	0.22	244	0.14	+0.10	0.11	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.10	244	0.11	–	0.11	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter

Compared with the headline cross-asset series and the series in the same catalog category and country. Changes are matched on common dates. Beta = change in DCI Indonesia (DCII.JK) per unit change in the other series (least squares, 1 year). Amber: fewer than 20 common changes (hover a value for its n). Stability: the 3-month correlation minus the 3-year one; ⇄ marks opposite signs. A change in correlation describes the past; it does not say the relationship has broken or will return. Data ↓

DCI Indonesia (DCII.JK) · INDOGB 10YR

20 60 120 252

Rolling correlation of daily changes over the last 60 common readings, last 3 years.

Who moves first? (1 year)

Lag (readings)	-10	-9	-8	-7	-6	-5	-4	-3	-2	-1	+0	+1	+2	+3	+4	+5	+6	+7	+8	+9	+10
correlation	0.02	−0.04	0.12	−0.04	0.01	0.04	−0.04	0.10	0.05	0.13	−0.13	−0.13	−0.09	0.04	0.16	−0.06	0.05	−0.08	−0.08	−0.02	−0.02

Lag +k: today's change in DCI Indonesia (DCII.JK) against the change in INDOGB 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.