 Exploring economic anomalies in the S&P500 indexDror Parnes The Quarterly Review of Economics and Finance, 2020, vol. 76, issue C, 292-309 Abstract: We examine anomalies in the S&P500 index, an equity-based proxy for the U.S. economy, from January 1957 until December 2018. We use the LOcally wEighted Scatterplot Smoothing (LOESS) nonlinear regression model with various smoothing degrees and identify high and low extreme values in the S&P500 index upon contrasting it with nine U.S. macroeconomic indicators. We find that high and low anomalies occur with cyclicality patterns with respect to the production rate, the inflation rate, the U.S. workforce, and the private consumption rate. A sharp distinction between earlier low anomalies and later high anomalies arises with respect to the interest rate and the U.S. trade price balance. Unusual recent high anomalies appear, however, with respect to the U.S. currency, the market sentiment, and the unemployment rate. We detect robust concentration of high economic anomalies in the S&P500 index (42 in the year of 2017 and 74 in the year of 2018) along eight (out of the nine) macroeconomic indicators. This realization can serve as a warning sign for market participants. Keywords: S&P500 Index; Anomalies; U.S. macroeconomic indicators; LOESS (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:76:y:2020:i:c:p:292-309 DOI: 10.1016/j.qref.2019.09.012 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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