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.

BSD (BSDE) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.61	0.47	0.57	240	0.39	+0.08	0.79	scatter
JCI (IHSG) jci	0.53	0.50	0.57	240	0.42	+0.08	0.82	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.56	0.39	0.46	230	0.16	+0.23	0.25	scatter
Emtek (EMTK.JK) EMTK.JK	0.87	0.59	0.40	230	0.23	+0.36	0.24	scatter
Sarana Menara (TOWR.JK) TOWR.JK	0.79	0.34	0.38	230	0.26	+0.08	0.35	scatter
Metrodata (MTDL.JK) MTDL.JK	0.51	0.23	0.36	230	0.24	−0.01	0.51	scatter
Bukalapak (BUKA.JK) BUKA.JK	0.44	0.32	0.35	230	0.25	+0.07	0.31	scatter
Indosat (ISAT.JK) ISAT.JK	−0.15	0.23	0.22	230	0.15	+0.08	0.15	scatter
INDOGB 10YR id10y	−0.29	−0.13	−0.18	206	−0.16	+0.03	−0.05	scatter
DCI Indonesia (DCII.JK) DCII.JK	−0.27	0.09	0.15	230	0.02	+0.07	0.14	scatter
USD/IDR usdidr	−0.26	−0.17	−0.14	244	−0.13	−0.04	−0.62	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.14	230	0.05	–	0.14	scatter
Copper copper	−0.15	0.06	0.11	237	−0.01	+0.06 ⇄	0.14	scatter
DXY dxy	−0.15	−0.32	−0.07	237	−0.06	−0.26	−0.52	scatter
PHLX Semiconductor (SOX) sox	−0.39	0.00	−0.06	237	−0.04	+0.03	−0.05	scatter
Gold gold	−0.09	0.14	0.04	237	0.06	+0.08	0.05	scatter
Nasdaq 100 ndx	−0.24	0.00	−0.03	237	−0.02	+0.02	−0.06	scatter
Brent brent	0.10	0.15	−0.03	237	−0.04	+0.19 ⇄	−0.02	scatter
UST 2YR ust2y	−0.04	0.01	0.02	234	−0.05	+0.05 ⇄	0.01	scatter
Bitcoin btc	−0.34	0.12	0.01	244	0.02	+0.10	0.01	scatter
UST 10YR ust10y	−0.11	−0.12	−0.01	234	−0.09	−0.03	0.00	scatter
S&P 500 spx	−0.11	0.01	0.01	237	−0.01	+0.02 ⇄	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 BSD (BSDE) 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 ↓

BSD (BSDE) · LQ45

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	−0.03	0.09	0.08	−0.07	0.04	−0.08	0.03	−0.03	−0.03	0.00	0.57	0.03	0.05	0.02	0.07	0.05	−0.06	−0.01	0.03	0.05	−0.02

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