It seems like there is, although the volatility and % moves are much less with LQD compared to, say the XLF. Today (Friday) the correlation is not working though. They are moving more inversely to each other.
It seems to me that LQD was doing very well until the Eurozone financial crisis became more in the forefront. Then people probably got concerned about LQD's possible exposure to the financial sector. I sold at the peak and just re-entered a few days ago.