On the autocorrelation of the stock market

Ian Martin

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: 639744; Paul Woolley Centre (search for similar items in EconPapers)
JEL-codes: F3 G3 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2021-01-31
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Published in Journal of Financial Econometrics, 31, January, 2021, 19(1), pp. 39 - 52. ISSN: 1479-8409

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Related works:
Journal Article: On the Autocorrelation of the Stock Market* (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:106215

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