I have a dataset showing monthly stock index returns for the last twenty years across 7 regions. Each region has 6 stock indices( both growth and value stock indices for small cap, standard cap and large cap companies), giving me a total of 42 monthly stock return time series.
I want to investigate the correlation between some of the growth and value returns within the same regions, across different regions and across different company sizes, as well as comparing it to GDP for the region (a statistic I will download from the World Bank).
Do I need to normalise my data before I calculate the correlation coefficients? Or does this assumption not hold for the data I am using for some reason?