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.

Nifty 50 against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
KOSPI kospi	−0.17	−0.08	0.34	232	0.32	−0.40 ⇄	0.09	scatter
LQ45 lq45	0.07	0.09	0.34	229	0.38	−0.29	0.15	scatter
JCI (IHSG) jci	0.10	0.07	0.33	229	0.35	−0.27	0.15	scatter
PHLX Semiconductor (SOX) sox	0.21	−0.02	0.08	239	0.22	−0.24 ⇄	0.02	scatter
Nasdaq 100 ndx	0.23	0.08	0.11	239	0.26	−0.18	0.07	scatter
FTSE Bursa Malaysia KLCI klci	−0.18	0.17	0.33	221	0.35	−0.18	0.46	scatter
Bovespa bvsp	0.17	0.00	0.07	225	0.18	−0.17	0.05	scatter
S&P 500 spx	0.34	0.14	0.17	239	0.29	−0.15	0.19	scatter
INDOGB 10YR id10y	−0.44	−0.29	−0.29	196	−0.16	−0.12	−0.03	scatter
CSI 300 csi300	0.83	0.06	0.32	221	0.18	−0.12	0.25	scatter
DXY dxy	−0.50	−0.24	−0.08	239	−0.13	−0.11	−0.22	scatter
Mexico IPC mxx	0.10	0.10	0.19	227	0.19	−0.09	0.16	scatter
UST 2YR ust2y	−0.03	−0.06	0.03	236	−0.13	+0.07	0.01	scatter
Copper copper	0.25	0.08	0.16	239	0.15	−0.07	0.08	scatter
Shanghai Composite shcomp	0.69	0.01	0.32	220	0.08	−0.07	0.30	scatter
Hang Seng hsi	0.28	0.23	0.40	235	0.17	+0.06	0.30	scatter
Straits Times sti	0.44	0.30	0.36	240	0.36	−0.06	0.43	scatter
USD/IDR usdidr	−0.32	−0.24	−0.11	246	−0.19	−0.05	−0.19	scatter
Gold gold	0.50	0.17	0.24	239	0.12	+0.05	0.12	scatter
Bitcoin btc	0.34	0.19	0.06	246	0.15	+0.04	0.02	scatter
Brent brent	−0.32	−0.21	−0.26	239	−0.17	−0.04	−0.07	scatter
UST 10YR ust10y	−0.20	−0.13	−0.01	236	−0.16	+0.02	0.00	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 Nifty 50 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 ↓

Nifty 50 · KOSPI

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	0.05	−0.12	0.01	−0.02	0.02	−0.07	0.03	−0.08	−0.13	−0.13	0.34	−0.09	−0.02	0.04	0.15	−0.11	0.06	0.00	0.07	−0.05	0.02

Lag +k: today's change in Nifty 50 against the change in KOSPI k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.