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.

Straits Times against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Hang Seng hsi	0.45	0.31	0.48	243	0.43	−0.12	0.31	scatter
Shanghai Composite shcomp	0.30	0.17	0.37	227	0.22	−0.05	0.29	scatter
Nifty 50 nifty	0.44	0.30	0.36	240	0.36	−0.06	0.31	scatter
CSI 300 csi300	0.17	0.14	0.36	228	0.37	−0.23	0.22	scatter
FTSE Bursa Malaysia KLCI klci	0.75	0.04	0.33	230	0.38	−0.35	0.38	scatter
KOSPI kospi	0.18	−0.10	0.29	240	0.27	−0.37 ⇄	0.06	scatter
INDOGB 10YR id10y	0.33	−0.01	−0.29	204	−0.25	+0.24	−0.02	scatter
JCI (IHSG) jci	0.02	−0.02	0.27	237	0.32	−0.33 ⇄	0.11	scatter
LQ45 lq45	0.01	−0.01	0.26	237	0.29	−0.30 ⇄	0.10	scatter
Gold gold	−0.07	0.06	0.15	245	0.01	+0.05	0.06	scatter
Brent brent	−0.40	−0.10	−0.13	245	−0.03	−0.07	−0.03	scatter
Mexico IPC mxx	0.78	0.25	0.13	232	0.32	−0.07	0.08	scatter
DXY dxy	−0.05	−0.12	−0.11	245	0.04	−0.15 ⇄	−0.24	scatter
Bitcoin btc	0.28	0.16	−0.07	251	0.07	+0.08	−0.02	scatter
Copper copper	0.26	0.13	0.06	245	0.22	−0.09	0.03	scatter
UST 2YR ust2y	−0.02	−0.10	−0.04	242	−0.13	+0.03	−0.01	scatter
PHLX Semiconductor (SOX) sox	0.37	0.13	0.02	245	0.12	0.00	0.01	scatter
UST 10YR ust10y	0.07	0.02	−0.02	242	−0.17	+0.19 ⇄	0.00	scatter
S&P 500 spx	0.27	0.07	−0.02	245	0.20	−0.13	−0.02	scatter
Bovespa bvsp	0.84	−0.11	0.01	231	0.15	−0.26 ⇄	0.00	scatter
Nasdaq 100 ndx	0.31	0.12	0.00	245	0.17	−0.05	0.00	scatter
USD/IDR usdidr	0.08	0.04	0.00	252	−0.16	+0.20 ⇄	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 Straits Times 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 ↓

Straits Times · Hang Seng

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	0.02	−0.03	−0.01	−0.05	0.00	0.04	0.04	−0.04	0.07	−0.02	0.48	−0.07	−0.10	−0.06	0.05	0.03	−0.05	−0.05	0.05	−0.02	0.10

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