---
title: Relationship between the S&P 500 index and its constituents: A regime-switching copula approach and a model-free asymmetry test
url: https://www.ml-quant.com/papers/ssrn/4815835/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4815835
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4815835
featured: 2024-05-08
citations: 0
topic: Econometrics & Forecasting
---


# Relationship between the S&P 500 index and its constituents: A regime-switching copula approach and a model-free asymmetry test

The study reveals an asymmetric relationship between the returns of the S&P 500 index and its constituents during high market volatility, especially for stocks with lower dividends and higher return volatilities.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4815835
- Identifier: SSRN 4815835
- Released: 2024-05-03
- First featured: Quant Letter No. 48 (2024-05-08): https://www.ml-quant.com/issues/2024-05-08/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Econometrics & Forecasting

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