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COVID anomaly in the correlation analysis of S&P 500 market states

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  • M Mijaíl Martínez-Ramos
  • Manan Vyas
  • Parisa Majari
  • Thomas H Seligman

Abstract

Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we shall discuss its possible implications as an isolated state or as a beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.

Suggested Citation

  • M Mijaíl Martínez-Ramos & Manan Vyas & Parisa Majari & Thomas H Seligman, 2024. "COVID anomaly in the correlation analysis of S&P 500 market states," PLOS ONE, Public Library of Science, vol. 19(4), pages 1-10, April.
    • Handle: RePEc:plo:pone00:0301238
    DOI: 10.1371/journal.pone.0301238
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    References listed on IDEAS

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    1. Nick James & Max Menzies & Kevin Chin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Papers 2203.15911, arXiv.org, revised Sep 2022.
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    3. James, Nick & Menzies, Max & Chin, Kevin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
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