środa, 11 stycznia 2012

WIG20 - S&P500 decoupling

Chart: WIG20 vs S&P500 futures 5 days, 2012-01-10, stooq.com

The Polish stock market index WIG20 has recently decoupled from the US market index S&P500 quite significantly.

This divergence has lasted for some time now:

Chart: WIG20 vs S&P500 futures 3 months, 2012-01-10, stooq.com

Something will have to correct... But which one?

Or is it just an opportunity for a convergence trade without trying to guess the direction?

Was the yesterday's funny WIG20 action a signal of the future developments?

Questions, questions and more questions... :)

Nevertheless, it's worth keeping in mind that even though Polish and US markets are highly correlated, correlation is not a stable measure. It's much safer to check the spread between the markets based on their cointegration.

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