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

Text (Martin_on-the-autocorrelation--published) - Published Version Available under License Creative Commons Attribution. Download (404kB)

• Author
• Scopus publication

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:	17 Apr 2024 01:36
URI:	http://eprints.lse.ac.uk/id/eprint/106215

Actions (login required)

View Item