Sep 24 2009
Correlation of Stocks and EUR/JPY
For a while during the height of the risk aversion action EUR/JPY and the stock market were very closely linked. This was reflective of the carry trade and how investors had a hair trigger getting out of it when they became worried. That relationship has been fairly choppy of late, however, as Zero Hedge observed today.
Here’s a chart of the 1mo rolling correlation between EUR/JPY and the S&P 500. Notice how at several points in the last year it’s been well short of strongly positive and has even gone well negative.
Here are some other posts which might interest you:
- One Trade Can Make a Difference
- Market Correlations, And Analytic Errors
- Volume and Participation Dropping In Forex
- Divergences Gave An Early Warning in Stocks
- Todayâ€™s Trading Look-Back – May 5, 2008