  This paper suggests five measures of association between two random vectors X
= (X_1, ..., X_p) and Y = (Y_1, ..., Y_q). They are copula based and therefore
invariant with respect to the marginal distributions of the components X_i and
Y_j. The measures capture positive as well as negative association of X and Y.
In case p = q = 1 they reduce to Spearman's rho. Various properties of these
new measures are investigated. Nonparametric estimators, based on ranks, for
the measures are derived and their small sample behaviour is investigated by
simulation. The measures are applied to characterise strength and direction of
association of bond and stock indices of five countries over time.
