can anybody explain me why are they correlated?
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DislikedI do not understand how the global economics work, you are correct though. Here is a quote from a site I found "Japanese funds have been invested in US Treasuries and equities, they will go down when the Yen carry trade is unwound but the speed and extent of those price changes are unknown." So this quote means that hundreds of billions of U.S. $s worth of Japanese funds have been put into U.S. equities. So, when the carry trade, GBP/JPY for instance, buys back their JPYs they are in effect taking them from United States markets and other global markets? Causing them to go down with it? Which comes first? The carry trade or GBP, doesn't just correlate with SAP, Hong Kong, London, Europe all go up or down with U.S. or U.S. goes up or down with them. Thus they are also somewhat correlated with the carry trade or GBP as is in your title.
Here is a chart of what you referenced: http://finance.yahoo.com/q/bc?s=GBPJ...&z=l&q=l&c=SPY Your correlation goes well beyond minute charts.
There are many more here that are far better read than I, I am still trying to understand the global effect on U.S. markets (global economic growth etc) and the effect on correlating to carry trades.
Quote reference: http://hedgefolios.com/read/carry-onIgnored