Maillet, Bertrand and Michel, Thierry (2002) How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks. Discussion paper, 417. Financial Markets Group, London School of Economics and Political Science, London, UK.
Download (317Kb) | Preview
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and applied to the foreign exchange market by Zumbach et al (2000-a and 2000-b). Their measure relies on an analogy with geophysics; the related Index of Market Shocks (IMS) that we propose here is also the counterpart of the Richter scale used for earthquakes. We apply this measure on the French and the American stock markets to put recent market events into perspective. The crisis triggered by the September attacks was actually the worst since 1987, and the 9th when compared to major historical ones.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2002 The Authors|
|Uncontrolled Keywords:||Financial crises, Volatility, Risk measurement, Heterogeneity of economic agents|
|Library of Congress subject classification:||H Social Sciences > HF Commerce
H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Journal of Economic Literature Classification System:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
|Date Deposited:||20 Aug 2009 11:02|
Actions (login required)
|Record administration - authorised staff only|