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.

JCI (IHSG) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	0.99	0.97	0.96	240	0.94	+0.03	0.89	scatter
CSI 300 csi300	0.19	0.34	0.35	216	0.29	+0.05	0.50	scatter
Nifty 50 nifty	0.10	0.07	0.33	229	0.35	−0.27	0.69	scatter
FTSE Bursa Malaysia KLCI klci	−0.65	0.11	0.32	219	0.29	−0.18	0.83	scatter
KOSPI kospi	−0.10	0.15	0.31	230	0.30	−0.15	0.15	scatter
INDOGB 10YR id10y	−0.62	−0.23	−0.29	205	−0.30	+0.07	−0.06	scatter
Hang Seng hsi	−0.09	−0.04	0.24	231	0.21	−0.24 ⇄	0.38	scatter
Copper copper	0.04	0.15	0.16	234	0.12	+0.03	0.18	scatter
Brent brent	−0.37	−0.08	−0.15	234	−0.13	+0.05	−0.08	scatter
Gold gold	−0.04	0.13	0.14	234	0.11	+0.02	0.13	scatter
DXY dxy	0.11	−0.06	−0.12	234	−0.16	+0.10	−0.64	scatter
S&P 500 spx	0.41	0.28	0.11	234	0.13	+0.15	0.24	scatter
USD/IDR usdidr	−0.36	−0.28	−0.10	240	−0.25	−0.03	−0.34	scatter
Nasdaq 100 ndx	0.50	0.39	0.10	234	0.14	+0.25	0.14	scatter
Bovespa bvsp	−0.36	0.15	0.10	221	0.17	−0.02	0.14	scatter
Mexico IPC mxx	−0.38	0.19	0.09	220	0.17	+0.02	0.14	scatter
PHLX Semiconductor (SOX) sox	0.40	0.34	0.07	234	0.12	+0.22	0.04	scatter
UST 2YR ust2y	0.31	0.11	−0.06	231	−0.08	+0.18 ⇄	−0.02	scatter
UST 10YR ust10y	0.30	0.13	−0.04	231	−0.07	+0.20 ⇄	−0.02	scatter
Bitcoin btc	0.02	0.19	0.04	239	0.15	+0.04	0.02	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 JCI (IHSG) 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 ↓

JCI (IHSG) · PHLX Semiconductor (SOX)

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	−0.02	−0.02	0.01	−0.07	−0.08	0.01	−0.06	−0.07	−0.05	0.19	0.07	−0.04	0.28	−0.02	−0.04	−0.02	−0.04	−0.17	−0.10	0.06	0.02

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