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The UK Stock Market Almanac 2016: Seasonality analysis and studies of market anomalies to give you an edge in the year ahead by Stephen Eckett

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Long Term

Correlation between UK and US markets

The previous edition of the Almanac looked at the weekly correlation of the UK and US equity markets. In this edition we will look at the correlation not of weekly but of monthly returns.

The following charts plot the correlation of monthly returns of the FTSE All-Share and S&P 500 indices for each decade since the 1960s.

The trend of increasing correlation throughout the decades that was seen for weekly returns is repeated here. In the 1960s and 1970s there was negligible correlation (measured by the R2 value in the charts) between the UK and US markets on a monthly basis. The US equity market ...

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