Do US indices affect STI?

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Well, it's a popular notion on HWZ forums that STI follows the US stock market, and people like to predict the STI movement based on the last closing of the US indices. So I tested that with data from Yahoo Finance ranging from Dec 2010 to Dec 2015, using Spearman's correlation between ES3 and a number of indices.

Name Symbol Spearman Correlation
Lyxor AsiaIT US$ NF4.SI 0.948438693
Lyxor World US$ H1P.SI 0.922792769
LYXOR Asia EX US$ G1K.SI 0.914623755
Lyxor AsiaCS US$ NF6.SI 0.902705567
Lyxor HSI US$ A9B.SI 0.879719834
Lyxor USDJIA US$ JC6.SI 0.870809236
Lyxor Asia US$ P60.SI 0.846190831
Lyxor Japan US$ CW4.SI 0.836158667
Lyxor Nasdaq US$ H1Q.SI 0.787960823
Lyxor Europe US$ JC5.SI 0.762374024
Lyxor AsiaRE US$ MT7.SI 0.75007067
Lyxor Taiwan US$ A9A.SI 0.733011747
Lyxor ThaiSET US$ P2P.SI 0.638932037
Lyxor MSIndia US$ G1N.SI 0.605130262
Lyxor ChinaH US$ P58.SI 0.528158153
Lyxor MAL US$ G1M.SI 0.487952323
Lyxor Korea US$ AO9.SI 0.418580403
Lyxor EM Mkt US$ H1N.SI 0.27739576
Lyxor Indonesia US$ P2Q.SI 0.232005556
Lyxor LATAM US$ H1O.SI -0.450758975
Lyxor Russia US$ JC7.SI -0.547590704
Lyxor Cmdty US$ A0W.SI -0.657178453
Lyxor CRBxEny US$ G1O.SI -0.665450671

So seems that the correlation with Nasdaq is 0.788, which is pretty high. Note some limitations: 1. no adjustments for currency, 2. Lyxor ETFs are not that liquid here, 3. Short timeframe.


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