COVID anomaly in the correlation analysis of S&P 500 market states
COVID anomaly in the correlation analysis of S&P 500 market states
Speaker: Thomas Seligman
Emeritus Professor, ICF, UNAM, Cuernavaca, Mexico
Date: September 28th 2023, 16:00 (GMT-6)
Auditorium Z of CUCEI. YouTube link
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.