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I am examining the relationship between the S&P 500 and the Industrial Production Index. Computing the correlation between these these variables yield vastly different results if expressed in percentage changes as opposed to using the index approach (i.e. choosing an index year and multiplying the percentage changes).

Percentage changes CORR (S&P500, IndustrialProduction) = -0.006460759

Index levels CORR (S&P500, IndustrialProduction) = 0.890445169

How does this make sense?

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