Interesting data table we put together on how the global stock indices move together on a monthly basis. They’re ranked according to their monthly movement with S&P500. That is the monthly return on each index has the same sign – positive or negative – as the S&P500.
The data show, for example, Australia’s stock index tracks, by sign, the S&P500 on monthly basis 80.8 percent of the time. Germany, 79.6 percent; Canada, 78.1 percent. China is the least correlated at 57.5 percent.
Note, we have also caclucated France’s comovement with Germany at 81.8 percent and Hong Kong with China at 62.9 percent, which is surprising but probably higher with a shorter-term more recent data series.
Also interesting to note that almost all stock market indices return a postive number on a monthly basis (first column) around 60 percent of the time.
The upshot? Better get the direction on S&P500 right if you expect to make a positve return in foreign stock markets. That is all things risk are a beta play on the S&P500.