Calculate correlation between all columns of a DataFrame and all columns of another DataFrame?

Question

I have a DataFrame object stocks filled with stock returns. I have another DataFrame object industries filled with industry returns. I want to find

Answer 1

Quite late, but more general solution:

def corrmatrix(df1,df2):
    s = df1.values.shape[1]
    cr = np.corrcoef(df1.values.T,df2.values.T)[s:,:s]    
    return pd.DataFrame(cr,index = df2.columns,columns = df1.columns)