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arXiv · 2308.14830

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

M. Mijaíl Martínez-Ramos·Manan Vyas·Parisa Majai·Thomas H. Seligman
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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.

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M. Mijaíl Martínez-Ramos, Manan Vyas, Parisa Majai, Thomas H. Seligman. 2024-04-30. COVID anomaly in the correlation analysis of S&P 500 market states. https://doi.org/10.1371/journal.pone.0301238

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