On the autocorrelation of the stock market

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
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:	01 Nov 2024 23:24
URI:	http://eprints.lse.ac.uk/id/eprint/106215

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