By correlation coefficient, I am referring to Pearson product-moment correlation coefficient here.
We all know that correlation doesn't imply causation, but does high correlation coefficient mean anything? The reason I ask this is that if one looks hard enough, one can find all sorts of correlation between any set of data in stock market ("torture the data until it confesses"), so I now think that high correlation coefficient doesn't mean anything at all.
Except for the situation whereby we can trace the causation between two matters, is there any other situation whereby high correlation coefficient means anything?
Take a specific example, if I see that stock A and stock B have a perfect correlation coefficient ( after extensive data mining) and I can't find out the reason why, or any causation between them, and when stock A rises, should I conclude (with high percentage of confidence level) that stock B will also rise? As far as stock B is concerned, what inference I can draw from the rise or fall of Stock A price?