Feb

22

Japan stock index etf EWJ weekly returns were compared with contemporaneous weekly returns for SPY, 1996-present. Correlation between the two returns series were noted at the end of each non-overlapping 10-week period, and this was regressed against date:

The regression equation is corr 10 = - 3.53 + 0.000107 Date

Predictor            Coef                   SE Coef              T      P
Constant         -3.5324         0.8395         -4.21  0.000
Date                0.000107     0.00002223    4.79  0.000

S = 0.274960 R-Sq = 24.7% R-Sq(adj) = 23.6%

The highly significant positive slope coefficient shows the correlation increasing over the past 14 year period.

Relatedly, cartoons have become less correlated with reality over time.


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