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.

Jasa Marga (JSMR) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.95	0.86	0.57	240	0.44	+0.42	0.64	scatter
JCI (IHSG) jci	0.95	0.86	0.55	240	0.44	+0.42	0.67	scatter
Emtek (EMTK.JK) EMTK.JK	0.09	0.43	0.30	229	0.14	+0.29	0.15	scatter
Solusi Sinergi Digital (WIFI.JK) WIFI.JK	0.52	0.46	0.29	229	0.09	+0.36	0.13	scatter
Sarana Menara (TOWR.JK) TOWR.JK	−0.17	0.09	0.28	229	0.20	−0.11	0.21	scatter
Indosat (ISAT.JK) ISAT.JK	0.28	0.25	0.28	229	0.24	+0.01	0.16	scatter
Bukalapak (BUKA.JK) BUKA.JK	−0.01	0.11	0.23	229	0.12	−0.01	0.17	scatter
INDOGB 10YR id10y	−0.33	−0.14	−0.20	205	−0.17	+0.04	−0.05	scatter
Metrodata (MTDL.JK) MTDL.JK	−0.45	0.24	0.18	229	0.11	+0.13	0.22	scatter
DCI Indonesia (DCII.JK) DCII.JK	0.27	0.10	0.17	229	0.02	+0.08	0.13	scatter
Brent brent	−0.33	−0.10	−0.15	238	−0.08	−0.02	−0.09	scatter
DXY dxy	0.05	−0.17	−0.12	238	−0.08	−0.09	−0.77	scatter
USD/IDR usdidr	−0.33	−0.22	−0.06	244	−0.09	−0.13	−0.26	scatter
Copper copper	−0.04	0.08	0.06	238	0.04	+0.04	0.07	scatter
UST 2YR ust2y	0.19	−0.06	−0.05	235	0.05	−0.10 ⇄	−0.02	scatter
GoTo (GOTO.JK) GOTO.JK	–	–	0.04	229	0.04	–	0.03	scatter
Gold gold	−0.01	0.10	0.04	238	0.09	+0.01	0.04	scatter
UST 10YR ust10y	0.17	0.01	−0.04	235	0.07	−0.06	−0.02	scatter
S&P 500 spx	0.35	0.22	0.03	238	0.04	+0.18	0.09	scatter
Nasdaq 100 ndx	0.42	0.28	0.03	238	0.04	+0.24	0.05	scatter
PHLX Semiconductor (SOX) sox	0.33	0.17	0.03	238	0.05	+0.12	0.02	scatter
Bitcoin btc	−0.08	0.17	0.00	243	0.06	+0.11	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 Jasa Marga (JSMR) 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 ↓

Jasa Marga (JSMR) · LQ45

20 60 120 252

Rolling correlation of daily changes over the last 252 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	−0.04	0.04	−0.01	0.12	0.02	0.03	0.11	0.04	−0.03	0.02	0.57	0.06	−0.12	−0.04	0.00	−0.06	0.01	0.02	0.05	−0.06	0.03

Lag +k: today's change in Jasa Marga (JSMR) 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.