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.

Hang Seng against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Shanghai Composite shcomp	0.78	0.35	0.54	227	0.62	−0.27	0.68	scatter
CSI 300 csi300	0.36	0.33	0.50	228	0.54	−0.21	0.51	scatter
Straits Times sti	0.48	0.30	0.48	243	0.43	−0.13	0.75	scatter
Nifty 50 nifty	0.27	0.22	0.40	235	0.17	+0.06	0.54	scatter
FTSE Bursa Malaysia KLCI klci	0.40	0.25	0.31	225	0.30	−0.06	0.60	scatter
KOSPI kospi	0.14	−0.03	0.31	236	0.22	−0.25 ⇄	0.10	scatter
Gold gold	0.16	−0.02	0.30	241	0.10	−0.12 ⇄	0.19	scatter
JCI (IHSG) jci	0.12	0.07	0.28	231	0.22	−0.15	0.20	scatter
LQ45 lq45	0.08	0.06	0.25	231	0.18	−0.12	0.17	scatter
Copper copper	0.28	0.16	0.20	241	0.31	−0.15	0.14	scatter
Mexico IPC mxx	0.03	−0.03	0.16	229	0.29	−0.32 ⇄	0.17	scatter
INDOGB 10YR id10y	0.27	0.09	−0.16	199	−0.26	+0.35 ⇄	−0.02	scatter
PHLX Semiconductor (SOX) sox	0.07	−0.03	0.16	241	0.19	−0.22 ⇄	0.07	scatter
DXY dxy	0.08	−0.02	−0.14	241	−0.16	+0.15	−0.53	scatter
Nasdaq 100 ndx	0.24	0.03	0.11	241	0.17	−0.14	0.11	scatter
S&P 500 spx	0.20	−0.03	0.09	241	0.16	−0.19 ⇄	0.13	scatter
Bitcoin btc	0.45	0.29	0.06	247	−0.01	+0.30 ⇄	0.02	scatter
USD/IDR usdidr	0.06	0.01	−0.05	247	−0.20	+0.21 ⇄	−0.11	scatter
Bovespa bvsp	0.30	−0.05	0.04	228	0.15	−0.19 ⇄	0.04	scatter
UST 2YR ust2y	0.03	−0.02	−0.02	238	−0.01	−0.01	−0.01	scatter
UST 10YR ust10y	−0.13	0.05	0.01	238	−0.07	+0.12 ⇄	0.00	scatter
Brent brent	−0.28	−0.04	−0.01	241	0.03	−0.07 ⇄	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 Hang Seng 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 ↓

Hang Seng · Shanghai Composite

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	−0.01	−0.04	0.02	−0.04	−0.09	−0.02	−0.01	0.02	−0.08	−0.18	0.54	−0.03	−0.13	−0.02	0.00	0.06	−0.05	−0.03	0.06	−0.02	0.04

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