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On the autocorrelation of the stock market

Martin, Ian (2021) On the autocorrelation of the stock market. Journal of Financial Econometrics, 19 (1). 39 - 52. ISSN 1479-8417

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Identification Number: 10.1093/jjfinec/nbaa033

Abstract

I introduce an index of market return autocorrelation based on the prices of index options and of forward-start index options and implement it at a six-month horizon. The results suggest that the autocorrelation of the S&P 500 index was close to zero before the subprime crisis but was negative in its aftermath, attaining values around –20% to –30%. I speculate that this may reflect market perceptions about the likely reaction, via quantitative easing, of policymakers to future market moves.

Item Type: Article
Official URL: https://academic.oup.com/jfec
Additional Information: © 2021 The Author
Divisions: Finance
Subjects: H Social Sciences > HG Finance
Date Deposited: 24 Aug 2020 08:51
Last Modified: 18 Feb 2024 08:42
URI: http://eprints.lse.ac.uk/id/eprint/106215

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