Martin, Ian ORCID: 0000-0001-8373-5317 (2021) On the autocorrelation of the stock market. Journal of Financial Econometrics, 19 (1). 39 - 52. ISSN 1479-8409
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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 |
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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: | 11 Oct 2024 20:39 |
URI: | http://eprints.lse.ac.uk/id/eprint/106215 |
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