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.

Bank Jago (ARTO) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	0.83	0.69	0.60	240	0.50	+0.19	1.32	scatter
LQ45 lq45	0.82	0.69	0.59	240	0.51	+0.18	1.22	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.34	0.14	0.45	229	0.14	0.00	0.40	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.67	0.30	0.42	229	0.32	−0.02	0.61	scatter
Emtek (EMTK.JK) EMTK.JK	0.83	0.41	0.42	229	0.30	+0.11	0.40	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.82	0.16	0.32	229	0.29	−0.13	0.49	scatter
Metrodata (MTDL.JK) MTDL.JK	0.61	0.17	0.27	229	0.17	0.00	0.66	scatter
Indosat (ISAT.JK) ISAT.JK	0.20	0.19	0.24	229	0.17	+0.02	0.28	scatter
Copper copper	0.10	0.15	0.19	238	0.11	+0.04	0.44	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.11	0.18	0.17	229	0.03	+0.14	0.27	scatter
Nasdaq 100 ndx	0.36	0.42	0.16	238	0.18	+0.24	0.48	scatter
S&P 500 spx	0.35	0.34	0.15	238	0.18	+0.17	0.75	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.15	229	0.22	–	0.26	scatter
INDOGB 10YR id10y	−0.15	0.11	−0.15	205	−0.12	+0.23 ⇄	−0.07	scatter
PHLX Semiconductor (SOX) sox	0.23	0.42	0.14	238	0.15	+0.27	0.18	scatter
DXY dxy	0.03	−0.08	−0.10	238	−0.09	+0.01	−1.21	scatter
Brent brent	−0.26	−0.03	−0.09	238	−0.11	+0.07	−0.11	scatter
UST 2YR ust2y	−0.15	−0.01	−0.06	235	−0.05	+0.04	−0.05	scatter
Bitcoin btc	−0.20	−0.05	−0.06	243	0.05	−0.09 ⇄	−0.08	scatter
Gold gold	−0.15	0.07	0.05	238	0.04	+0.03	0.11	scatter
UST 10YR ust10y	−0.14	−0.06	−0.04	235	−0.02	−0.03	−0.03	scatter
USD/IDR usdidr	−0.31	−0.21	−0.02	244	−0.05	−0.16	−0.18	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 Bank Jago (ARTO) 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 ↓

Bank Jago (ARTO) · 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	0.01	0.03	−0.14	−0.02	−0.05	−0.12	0.12	0.02	−0.03	0.60	0.05	−0.05	0.10	0.05	−0.02	−0.02	−0.07	−0.01	0.05	−0.01

Lag +k: today's change in Bank Jago (ARTO) 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.