The below tables capture the correlation between the nine markets in Southeast Asia, as well as the main exchanges in China, Hong Kong, Japan, and the United States. We calculate the daily percent returns for each exchange and run correlations for the past week, trailing four weeks, and year-to-date.
Thirteen of the fourteen exchanges trade in similar time zones, with the US-based S&P 500 the only exchange trading at a distinctly different time interval. Therefore, we use the one day trailing return of the S&P 500 when comparing its returns with the other identified markets. This assumes the performance of the S&P 500 on a Friday will carry through the weekend and influence the returns on Monday in Asia; the S&P 500’s performance on Monday through Thursday then will influence the returns in Asia on Tuesday through Friday.
Weekly Correlation, 3-7 September 2018*
| JSX | STI | KLCI | SET | PSEi | YSX | CSX | LSX | VNI | HNX | SPX | NIK | HSI | CSI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JSX | 1.00 | |||||||||||||
| STI | 0.68 | 1.00 | ||||||||||||
| KLCI | 0.93 | 0.85 | 1.00 | |||||||||||
| SET | 0.88 | 0.83 | 0.89 | 1.00 | ||||||||||
| PSEi | 0.11 | 0.73 | 0.38 | 0.24 | 1.00 | |||||||||
| YSX | -0.47 | -0.29 | -0.27 | -0.65 | 0.21 | 1.00 | ||||||||
| CSX | -0.73 | -0.67 | -0.67 | -0.93 | -0.05 | 0.86 | 1.00 | |||||||
| LSX | -0.21 | -0.42 | -0.46 | -0.33 | -0.19 | -0.31 | 0.17 | 1.00 | ||||||
| VNI | 0.34 | -0.02 | 0.10 | 0.08 | 0.00 | -0.34 | -0.07 | 0.81 | 1.00 | |||||
| HNX | 0.62 | 0.03 | 0.33 | 0.36 | -0.28 | -0.55 | -0.36 | 0.59 | 0.88 | 1.00 | ||||
| SPX | -0.52 | 0.24 | -0.29 | -0.11 | 0.55 | 0.03 | 0.01 | -0.13 | -0.47 | -0.72 | 1.00 | |||
| NIK | -0.20 | 0.28 | 0.13 | -0.03 | 0.38 | 0.57 | 0.17 | -0.88 | -0.89 | -0.88 | 0.47 | 1.00 | ||
| HSI | 0.52 | 0.90 | 0.74 | 0.55 | 0.89 | 0.09 | -0.28 | -0.35 | 0.07 | -0.03 | 0.20 | 0.34 | 1.00 | |
| CSI | 0.39 | 0.79 | 0.62 | 0.38 | 0.93 | 0.23 | -0.10 | -0.24 | 0.14 | -0.05 | 0.22 | 0.30 | 0.98 | 1.00 |
*SPX is from 31 August – 6 September 2018
Trailing Four Weeks
| JSX | STI | KLCI | SET | PSEi | YSX | CSX | LSX | VNI | HNX | SPX | NIK | HSI | CSI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JSX | 1.00 | |||||||||||||
| STI | 0.56 | 1.00 | ||||||||||||
| KLCI | 0.75 | 0.79 | 1.00 | |||||||||||
| SET | 0.53 | 0.47 | 0.33 | 1.00 | ||||||||||
| PSEi | 0.38 | 0.72 | 0.64 | 0.27 | 1.00 | |||||||||
| YSX | -0.47 | -0.08 | -0.18 | -0.05 | 0.12 | 1.00 | ||||||||
| CSX | -0.20 | -0.03 | 0.01 | -0.13 | 0.23 | 0.03 | 1.00 | |||||||
| LSX | 0.06 | 0.22 | 0.11 | -0.12 | 0.02 | -0.10 | -0.37 | 1.00 | ||||||
| VNI | -0.01 | 0.09 | 0.10 | 0.36 | 0.09 | 0.20 | 0.08 | 0.36 | 1.00 | |||||
| HNX | 0.02 | -0.08 | -0.01 | 0.31 | -0.11 | 0.22 | -0.20 | 0.24 | 0.80 | 1.00 | ||||
| SPX | 0.39 | 0.41 | 0.59 | 0.12 | 0.51 | -0.18 | 0.31 | 0.07 | 0.02 | -0.12 | 1.00 | |||
| NIK | 0.17 | 0.33 | 0.42 | 0.11 | 0.28 | 0.12 | 0.16 | -0.20 | 0.02 | -0.22 | 0.19 | 1.00 | ||
| HSI | 0.58 | 0.54 | 0.53 | 0.63 | 0.39 | 0.00 | -0.01 | -0.02 | 0.25 | 0.11 | 0.46 | 0.36 | 1.00 | |
| CSI | 0.36 | 0.38 | 0.32 | 0.45 | 0.12 | 0.05 | -0.28 | 0.26 | 0.37 | 0.33 | 0.04 | 0.20 | 0.78 | 1.00 |
Year-to-Date Correlation, 2018
| JSX | STI | KLCI | SET | PSEi | YSX | CSX | LSX | VNI | HNX | SPX | NIK | HSI | CSI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JSX | 1.00 | |||||||||||||
| STI | 0.39 | 1.00 | ||||||||||||
| KLCI | 0.31 | 0.52 | 1.00 | |||||||||||
| SET | 0.22 | 0.49 | 0.39 | 1.00 | ||||||||||
| PSEi | 0.30 | 0.30 | 0.40 | 0.28 | 1.00 | |||||||||
| YSX | -0.02 | 0.01 | 0.06 | -0.01 | 0.05 | 1.00 | ||||||||
| CSX | -0.02 | 0.10 | 0.06 | 0.02 | 0.01 | 0.06 | 1.00 | |||||||
| LSX | 0.03 | 0.05 | 0.08 | 0.02 | 0.02 | 0.00 | 0.03 | 1.00 | ||||||
| VNI | 0.16 | 0.14 | 0.27 | 0.21 | 0.22 | 0.11 | 0.01 | 0.04 | 1.00 | |||||
| HNX | 0.12 | 0.08 | 0.23 | 0.28 | 0.12 | 0.09 | -0.06 | 0.01 | 0.83 | 1.00 | ||||
| SPX | 0.27 | 0.41 | 0.35 | 0.25 | 0.36 | 0.04 | 0.08 | 0.00 | 0.26 | 0.20 | 1.00 | |||
| NIK | 0.19 | 0.59 | 0.45 | 0.40 | 0.30 | 0.02 | 0.10 | -0.07 | 0.29 | 0.22 | 0.58 | 1.00 | ||
| HSI | 0.40 | 0.66 | 0.44 | 0.43 | 0.24 | 0.01 | 0.15 | -0.03 | 0.29 | 0.19 | 0.42 | 0.55 | 1.00 | |
| CSI | 0.22 | 0.44 | 0.30 | 0.30 | 0.06 | -0.02 | 0.09 | -0.05 | 0.21 | 0.19 | 0.32 | 0.40 | 0.69 | 1.00 |
Two-tailed t Test* of Correlation Between Indices in Southeast Asia, China, Hong Kong, Japan, and the United States, Year-to-Date 2018
| JSX | STI | KLCI | SET | PSEi | YSX | CSX | LSX | VNI | HNX | SPX | NIK | HSI | CSI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JSX | ||||||||||||||
| STI | 5.620 | |||||||||||||
| KLCI | 4.290 | 8.180 | ||||||||||||
| SET | 3.030 | 7.530 | 5.620 | |||||||||||
| PSEi | 4.250 | 4.160 | 5.830 | 3.950 | ||||||||||
| YSX | -0.220 | 0.160 | 0.850 | -0.130 | 0.620 | |||||||||
| CSX | -0.220 | 1.290 | 0.760 | 0.270 | 0.140 | 0.840 | ||||||||
| LSX | 0.380 | 0.720 | 1.060 | 0.300 | 0.310 | -0.050 | 0.350 | |||||||
| VNI | 2.110 | 1.910 | 3.700 | 2.930 | 2.980 | 1.410 | 0.120 | 0.540 | ||||||
| HNX | 1.680 | 1.010 | 3.120 | 3.840 | 1.580 | 1.210 | -0.790 | 0.100 | 19.810 | |||||
| SPX | 3.800 | 6.070 | 4.960 | 3.410 | 5.230 | 0.600 | 1.110 | 0.040 | 3.650 | 2.760 | ||||
| NIK | 2.610 | 9.760 | 6.700 | 5.830 | 4.150 | 0.240 | 1.390 | -0.940 | 3.990 | 2.970 | 9.560 | |||
| HSI | 5.780 | 11.600 | 6.610 | 6.340 | 3.300 | 0.170 | 2.080 | -0.410 | 4.010 | 2.520 | 6.130 | 8.730 | ||
| CSI | 2.950 | 6.470 | 4.190 | 4.220 | 0.820 | -0.310 | 1.180 | -0.690 | 2.820 | 2.510 | 4.510 | 5.870 | 12.820 |
t distribution critical value at 95%: 1.984
*t tests assume normal distribution
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