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Pearson correlation coefficients.
| Correlation | CSI300 | SP500 | HS | N225 | KS |
|---|---|---|---|---|---|
| The tranquil period | |||||
| CSI300 | 1.0000 | – | – | – | – |
| SP500 | 0.4013 | 1.0000 | – | – | – |
| HS | 0.5978 | 0.5792 | 1.0000 | – | – |
| N225 | 0.3466 | 0.6123 | 0.5172 | 1.0000 | – |
| KS | 0.4068 | 0.7073 | 0.633 | 0.6071 | 1.0000 |
| The COVID-19 period | |||||
| CSI300 | 1.0000 | – | – | – | |
| SP500 | 0.6389 | 1.0000 | – | – | |
| HS | 0.7139 | 0.5962 | 1.0000 | – | |
| N225 | 0.4821 | 0.6966 | 0.5546 | 1.0000 | |
| KS | 0.6112 | 0.792 | 0.7098 | 0.7044 | 1.0000 |
Notes: Pearson's correlation coefficient reflects linear relationships of the markets.
