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.

LQ45 against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	0.99	0.97	0.96	240	0.94	+0.03	1.03	scatter
Nifty 50 nifty	0.07	0.09	0.34	229	0.38	−0.29	0.77	scatter
FTSE Bursa Malaysia KLCI klci	−0.38	0.17	0.33	219	0.30	−0.13	0.92	scatter
INDOGB 10YR id10y	−0.52	−0.22	−0.31	205	−0.32	+0.11	−0.07	scatter
CSI 300 csi300	0.11	0.19	0.27	216	0.25	−0.05	0.42	scatter
KOSPI kospi	−0.20	0.04	0.23	230	0.24	−0.20	0.12	scatter
Hang Seng hsi	−0.12	−0.05	0.20	231	0.16	−0.21 ⇄	0.34	scatter
Brent brent	−0.37	−0.10	−0.15	234	−0.13	+0.04	−0.08	scatter
Copper copper	0.01	0.12	0.13	234	0.07	+0.05	0.15	scatter
S&P 500 spx	0.41	0.28	0.12	234	0.15	+0.12	0.28	scatter
USD/IDR usdidr	−0.39	−0.31	−0.12	240	−0.26	−0.05	−0.42	scatter
Mexico IPC mxx	−0.02	0.31	0.09	220	0.18	+0.13	0.15	scatter
Nasdaq 100 ndx	0.47	0.37	0.09	234	0.14	+0.24	0.14	scatter
Bovespa bvsp	−0.20	0.14	0.09	221	0.17	−0.03	0.14	scatter
DXY dxy	0.11	−0.07	−0.08	234	−0.15	+0.08	−0.46	scatter
Gold gold	−0.07	0.10	0.08	234	0.06	+0.04	0.08	scatter
UST 10YR ust10y	0.17	0.03	−0.06	231	−0.07	+0.10 ⇄	−0.02	scatter
UST 2YR ust2y	0.22	0.03	−0.05	231	−0.06	+0.09 ⇄	−0.02	scatter
PHLX Semiconductor (SOX) sox	0.35	0.28	0.03	234	0.10	+0.18	0.02	scatter
Bitcoin btc	−0.16	0.22	0.02	239	0.17	+0.04	0.01	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 LQ45 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 ↓

LQ45 · JCI (IHSG)

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	−0.06	0.03	−0.03	−0.09	0.02	−0.05	0.06	0.07	−0.04	0.04	0.96	0.01	0.02	0.14	0.03	−0.06	0.02	−0.06	−0.04	0.02	−0.11

Lag +k: today's change in LQ45 against the change in JCI (IHSG) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.