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.

CSI 300 against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Shanghai Composite shcomp	0.90	0.94	0.93	239	0.87	+0.06	1.15	scatter
KOSPI kospi	0.94	0.55	0.61	226	0.45	+0.10	0.19	scatter
Hang Seng hsi	0.36	0.38	0.49	227	0.54	−0.16	0.49	scatter
PHLX Semiconductor (SOX) sox	0.73	0.38	0.37	227	0.32	+0.06	0.14	scatter
Straits Times sti	0.17	0.14	0.36	228	0.37	−0.23	0.57	scatter
JCI (IHSG) jci	0.19	0.34	0.35	216	0.29	+0.05	0.24	scatter
Copper copper	0.52	0.27	0.33	227	0.28	−0.01	0.21	scatter
Nifty 50 nifty	0.83	0.06	0.32	221	0.18	−0.12	0.43	scatter
Gold gold	0.72	0.22	0.30	227	0.17	+0.05	0.19	scatter
LQ45 lq45	0.11	0.19	0.27	216	0.25	−0.05	0.18	scatter
Nasdaq 100 ndx	0.57	0.32	0.27	227	0.25	+0.07	0.24	scatter
INDOGB 10YR id10y	−0.46	−0.02	−0.24	202	−0.14	+0.12	−0.03	scatter
FTSE Bursa Malaysia KLCI klci	0.14	0.07	0.18	229	0.25	−0.18	0.34	scatter
S&P 500 spx	0.42	0.15	0.16	227	0.19	−0.04	0.23	scatter
Mexico IPC mxx	−0.03	0.01	0.16	232	0.25	−0.24	0.17	scatter
Brent brent	−0.70	0.02	−0.08	227	−0.09	+0.11 ⇄	−0.03	scatter
USD/IDR usdidr	−0.59	−0.18	0.05	233	−0.12	−0.06	0.12	scatter
Bitcoin btc	0.65	0.15	0.04	235	0.05	+0.09	0.02	scatter
DXY dxy	0.05	0.11	−0.04	227	−0.11	+0.22 ⇄	−0.14	scatter
UST 10YR ust10y	−0.35	0.14	0.03	228	−0.10	+0.24 ⇄	0.01	scatter
Bovespa bvsp	−0.09	−0.05	−0.01	232	0.08	−0.13 ⇄	−0.01	scatter
UST 2YR ust2y	−0.15	0.01	0.00	228	−0.02	+0.03 ⇄	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 CSI 300 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 ↓

CSI 300 · KOSPI

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	0.15	−0.14	−0.01	0.04	−0.03	−0.23	0.06	0.12	−0.04	−0.20	0.61	−0.08	−0.07	0.02	0.15	−0.13	−0.07	0.06	0.06	−0.08	0.01

Lag +k: today's change in CSI 300 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.