The US stock market and the euro

Speaking of correlations, it has been observed that the US stock market, once re-priced in euros, hasn't really done much in the past couple of years, quite contrary to the apparent performance if valued in US$. However, simply re-pricing the value of a market in another currency doesn't convey the all story. What has been happening is that the euro contract and the SPX have been moving almost in unison for a remarkably long time:




The correlation indicator between the SPX contract and the euro contract over the last few years shows that the two contracts became highly correlated in the first quarter of 2003 and have remained so. Previously they were either negatively correlated or not correlated at all.




Categories: stock market, currencies, correlations