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

08/28/2023

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by   M. Mijaíl Martínez-Ramos, et al.

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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.