From what I have been understanding it is based on market sentiment. Capital flees to safe harbour in time of turmoil - you might be able to observe a similar relationship with the Yen FX pairs. It doesn't always occur from what I have been seeing but to better understand it you would have to investigate a little more into market sentiment and macro economic impacts on stocks/indices.
For example I am showing the SPX 500 index - dont have US 2000 on HugosWayMT4 - based on this limited sample the correlation changes.

msbh wrote: Sat Feb 26, 2022 9:28 am Xard, I don't know if its worth mentioning but, do you have a Gold chart open side by side to your US2000 chart?
Today I did just that to see the correlation between Gold and Indices.
After London Open, Gold kept dropping until New York Close,
while Indices did the exact opposite.
Have a great weekend