It is important for investors to understand how market sectors are correlated with the general Stock Exchange Index in order to diversify their portfolios in an efficient way. Furthermore, public economic policy makers need to know which economic sectors are strongly related to the Stock Exchange Index in order to monitor the markets and intervene with appropriate measures wherever is required. The objective of this study is to explore the relationship between the Kuwait Stock Exchange (KSE) index and the indexes from 12 sectors, from May 2012 to April 2016 (time that the new classification system of economic sectors was introduced in the Kuwaiti stock exchange). Several methods have been used to identify the determinants which are related to the performance of the SE (Stock Exchange) sectors and their relationship with the whole Stock Exchange index. This study uses correlation analysis to identify the most strong and weak significant correlations between the 12 economic Kuwaiti sectors and the parallel market and the KSE index. Our findings reveal the strong positive correlation between the Consumer Services, Financial Services, Real Estate, Oil and Gas, Banking and Industrial sectors with the KSE Index. A significant negative correlation between the Insurance sector and the KSE Index is also evident. The authors discuss the implications of the study for investors and public policy makers and identify avenues for future research.