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.

Chandra Asri (TPIA) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	0.86	0.70	0.49	240	0.44	+0.26	1.55	scatter
LQ45 lq45	0.79	0.65	0.42	240	0.37	+0.28	1.25	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.70	0.38	0.30	229	0.09	+0.29	0.39	scatter
Emtek (EMTK.JK) EMTK.JK	0.48	0.35	0.33	229	0.17	+0.17	0.47	scatter
Bitcoin btc	0.39	0.26	0.04	243	0.09	+0.17	0.07	scatter
Indosat (ISAT.JK) ISAT.JK	−0.45	0.25	0.10	229	0.08	+0.17	0.16	scatter
USD/IDR usdidr	−0.37	−0.25	0.03	244	−0.04	−0.22	0.36	scatter
Nasdaq 100 ndx	0.57	0.23	0.07	238	0.07	+0.17	0.30	scatter
PHLX Semiconductor (SOX) sox	0.54	0.22	0.10	238	0.10	+0.13	0.20	scatter
UST 10YR ust10y	0.21	0.22	−0.05	235	−0.02	+0.23 ⇄	−0.06	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.21	0.21	0.15	229	0.01	+0.20	0.35	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.73	0.19	0.17	229	0.08	+0.11	0.35	scatter
Gold gold	0.03	0.17	0.12	238	0.08	+0.09	0.37	scatter
S&P 500 spx	0.42	0.13	0.05	238	0.05	+0.08	0.38	scatter
Copper copper	0.16	0.12	0.12	238	0.01	+0.11	0.41	scatter
UST 2YR ust2y	0.15	0.09	−0.15	235	−0.06	+0.15 ⇄	−0.17	scatter
INDOGB 10YR id10y	−0.62	−0.09	0.07	205	0.04	−0.12 ⇄	0.05	scatter
Metrodata (MTDL.JK) MTDL.JK	0.20	0.08	0.12	229	0.06	+0.02	0.42	scatter
Brent brent	−0.47	0.06	−0.01	238	−0.03	+0.09 ⇄	−0.02	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.34	−0.01	0.28	229	0.17	−0.18 ⇄	0.61	scatter
DXY dxy	0.09	0.00	−0.14	238	−0.10	+0.10	−2.49	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.05	229	0.00	–	0.13	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 Chandra Asri (TPIA) 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 ↓

Chandra Asri (TPIA) · 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	−0.10	0.06	0.02	−0.04	−0.01	−0.03	0.06	0.06	0.04	0.08	0.49	0.23	0.18	−0.02	0.09	0.05	−0.03	0.03	0.01	0.00	−0.10

Lag +k: today's change in Chandra Asri (TPIA) 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.