---
_id: '50719'
abstract:
- lang: eng
  text: We propose an indicator for detecting anomalous stock market valuation in
    real time such that market participants receive timely signals so as to be able
    to take stabilizing action. Unlike existing approaches, our anomaly indicator
    introduces three methodological novelties. First, we use an endogenous, purely
    data-driven, nonparametric trend identification method to separate long-term market
    movements from more short-term ones. Second, we apply SETAR models that allow
    for asymmetric expansions and contractions around the long-term trend and find
    systematic stock price cycles. Third, we implement these findings in our indicator
    and conduct real-time market forecasts, which have so far been neglected in the
    literature. Applications of our indicator using monthly S&P 500 stock data from
    1970 to the end of 2022 show that short-term anomalous market movements can be
    identified in real time up to one year ahead. We predict all major anomalies,
    including the 1987 Bubble and the initial phase of the Financial Crisis that began
    in 2007. In total, our anomaly indicator identifies more than 80% of all – even
    minor – anomalous episodes. Thus, smoothing market exaggerations through early
    signaling seems possible.
article_type: original
author:
- first_name: Marlon
  full_name: Fritz, Marlon
  last_name: Fritz
- first_name: Thomas
  full_name: Gries, Thomas
  id: '186'
  last_name: Gries
- first_name: Lukas
  full_name: Wiechers, Lukas
  last_name: Wiechers
citation:
  ama: Fritz M, Gries T, Wiechers L. An early indicator for anomalous stock market
    performance. <i>Quantitative Finance</i>. Published online 2024:1-14. doi:<a href="https://doi.org/10.1080/14697688.2023.2281529">10.1080/14697688.2023.2281529</a>
  apa: Fritz, M., Gries, T., &#38; Wiechers, L. (2024). An early indicator for anomalous
    stock market performance. <i>Quantitative Finance</i>, 1–14. <a href="https://doi.org/10.1080/14697688.2023.2281529">https://doi.org/10.1080/14697688.2023.2281529</a>
  bibtex: '@article{Fritz_Gries_Wiechers_2024, title={An early indicator for anomalous
    stock market performance}, DOI={<a href="https://doi.org/10.1080/14697688.2023.2281529">10.1080/14697688.2023.2281529</a>},
    journal={Quantitative Finance}, publisher={Informa UK Limited}, author={Fritz,
    Marlon and Gries, Thomas and Wiechers, Lukas}, year={2024}, pages={1–14} }'
  chicago: Fritz, Marlon, Thomas Gries, and Lukas Wiechers. “An Early Indicator for
    Anomalous Stock Market Performance.” <i>Quantitative Finance</i>, 2024, 1–14.
    <a href="https://doi.org/10.1080/14697688.2023.2281529">https://doi.org/10.1080/14697688.2023.2281529</a>.
  ieee: 'M. Fritz, T. Gries, and L. Wiechers, “An early indicator for anomalous stock
    market performance,” <i>Quantitative Finance</i>, pp. 1–14, 2024, doi: <a href="https://doi.org/10.1080/14697688.2023.2281529">10.1080/14697688.2023.2281529</a>.'
  mla: Fritz, Marlon, et al. “An Early Indicator for Anomalous Stock Market Performance.”
    <i>Quantitative Finance</i>, Informa UK Limited, 2024, pp. 1–14, doi:<a href="https://doi.org/10.1080/14697688.2023.2281529">10.1080/14697688.2023.2281529</a>.
  short: M. Fritz, T. Gries, L. Wiechers, Quantitative Finance (2024) 1–14.
date_created: 2024-01-22T08:49:02Z
date_updated: 2024-06-12T12:57:31Z
department:
- _id: '19'
- _id: '200'
- _id: '202'
- _id: '475'
doi: 10.1080/14697688.2023.2281529
keyword:
- General Economics
- Econometrics and Finance
- Finance
language:
- iso: eng
page: 1-14
publication: Quantitative Finance
publication_identifier:
  issn:
  - 1469-7688
  - 1469-7696
publication_status: published
publisher: Informa UK Limited
status: public
title: An early indicator for anomalous stock market performance
type: journal_article
user_id: '186'
year: '2024'
...