Figure 5. Index correlations (top) and Meta-correlations (bottom) for the U.S vs. Germany (left) and Japan (right).

Both calculated using a 66-day window. The U.S. and Germany show a higher similarity for both measures than the U.S. and Japan. While both measures fluctuate over time, we observe that high correlations do not necessarily show jointly in the top and the bottom figure. We can thus differentiate between times of identical price movements (high index correlation) and global stress (high index correlation and high meta-correlation).