Market Correlation

[#1]

Maybe someone out there finds this interesting.
Just messing around with numbers today.

Growth comparison between main markets since 2004:
http://www.chartupload.com/viewer.php?file=21753889115112567623.png

Correlations between ALSI and ...
DowJ: 0.81
S&P: 0.74
NASDAQ: 0.87
DAX: 0.93
CAC: 0.03
FTSE: 0.74


So if you want to watch an overseas market when watching daily moves it seems the DAX is by far the winner, it has the closest movement to the ALSI.

[#2]

from the chart you can see why foreign investors are so keen to get into South Africa....not even a competition against developed markets.

[SimonPB]

love the Correlations, thanks

[#4]

what are you correlating? Daily up and down vs other indices? Peaks and troughs? Also, I see you are an Oscar Carboni fan - this guy is by far the best technical analyst and commentator I have ever seen. He is hardly ever wrong (and no, I don't subscribe to him).

[#5]

@simon - pleasure

@skaaptjop - the correlation is based on daily moves, with data/daily moves from 01 Jan 2004 (so 10 years of data).
So if we move up 1% and Dax moves up 1% thats a correlation of 1.
Ive heard of Oscar, but I havent r

[Bouwer]

Is there something like a global index? Taking all the major indexes and compiling one master index?

[#7]

something mathematically doesn't make sense here. If we were correlated that strongly - then the DAX growth rate would more or less match ours. The correlation, I would guess, refers to up days vs down days - and not necessarily the % increase?

[gamma]

MSCI World Index. Heavily skewed to US however

[gamma]

MSCI World Index. Heavily skewed to US however

[#10]

you have a very good point, think I stated it wrong, its % move up or down in relation to the base value since 2004.

so from the base value it moved up 1% on Dax, same day that moved up 1% on ALSI (as example) on ALSI though that was 400 points up, versus the dax which was 90points up.

Heres a screenshot that shows the calc:
http://prntscr.com/3yaf64

If you see something wrong, please let me know. Thanks.

[Rams]

At one time we worker correlating the S&P , then we agreed with the FTSE, now DAX?.....been thru all of them, but for intraday moves, I just look at the DOW for direction....now today...we about 0,77% and yesterday DOW closed 0,77%.

[Rams]

we worker=we were

[#13]

I dont think it really matters, when I trade alsi, I only look at ALSI charts, no point in looking at another market unless its your strategy.

I just enjoy testing things that everybody tells you is true, and often find that generally accepted wisdom is more than often wrong, for instance:
- the market climbs on a wall of worry (sure didnt help longs in 2008 when they were worrying)
- the market goes up because of the R/$ - with a low correlation to the R/$ and an extremely high correlation to stimulus, false as well.
etc.

[#14]

another 1, the market cannot go down if everyone is short - have you ever considered if "everyone" is short (generally this refers to 1 or 2 forums of a few retail traders) doesnt that mean there is a bigger buyer thats already absorbed all the selling? hence more buying?

even though some of them hold some truth sometimes, its often not close to the reason we believe in the first place.

[Rams]

and today,the markets just lay down and die because US on holiday...

[th-mb]

if the correlation theory is correct then the top 40 is closing negative today because the dax ended negatively. plus the 15 minute chart indicating a descending triangle.

[#17]

@Rams shows you how much of our market is controlled US fund managers!!

@th-mb, its very possible to close lower, we are in a high risk zone for longs again, and the past 2 days have seen a lot of selling. From a TA point of we seem to be simil

[#18]

I did go long today though, just an intraday move looking for a gap close....been frustrating.

[#19]

Looking at JSE stats - foreigners have traded roughly R300bn since the beginning of the year (if I am reading the stats correctly). Out of a total of roughly R1.6tn. So Foreigners are contributing roughly only 20% of all trades on the JSE. A big number - but hardly what I would call controlling? I suppose the one stat we can't see - is how many foreigners are pumping money into Coronatation and the other fund managers to do the purchasing for them

[#20]

Looking at JSE stats - foreigners have traded roughly R300bn since the beginning of the year (if I am reading the stats correctly). Out of a total of roughly R1.6tn. So Foreigners are contributing roughly only 20% of all trades on the JSE. A big number - but hardly what I would call controlling? I suppose the one stat we can't see - is how many foreigners are pumping money into Coronatation and the other fund managers to do the purchasing for them