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

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

PLOS ONE, 2024, vol. 19, issue 4, 1-10

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.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0301238

DOI: 10.1371/journal.pone.0301238

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