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.


Comments

WordPress database error: [Table './dailyspeculations_com_@002d_dailywordpress/wp_comments' is marked as crashed and last (automatic?) repair failed]
SELECT * FROM wp_comments WHERE comment_post_ID = '4444' AND comment_approved = '1' ORDER BY comment_date

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search