Abstract

http://ssrn.com/abstract=76168
 
 

References (26)



 
 

Citations (17)



 


 



Stock Market Crises in Developed and Emerging Markets


Asani Sarkar


Federal Reserve Bank of New York

Sandeep A. Patel


Standard & Poor's - Information Services

April 1998


Abstract:     
We empirically examine stock price index data for eight developed and ten emerging markets from 1970 to 1997. There were nine stock market crises over our sample period, three each in the developed stock markets, the Asian stock markets and the Latin American stock markets. We find important differences in the characteristics of stock market crises between the developed and emerging stock markets. While each developed market crisis has been less severe than the previous one, both in terms of the extent of price decline and the duration of the crises, this is not so for the emerging stock markets. For emerging markets stock crises, prices tend to fall rapidly and steeply, but take longer to recover, in about three years on average. For both developed and emerging markets, prices fall for at least three years subsequent to recovery from a crisis. All the crises we study are associated with contagion---i.e., most individual markets in a region are in crisis when the regional market is also in crisis. Finally, for U.S. investors with long investment horizons (six months or more), international stocks continue to provide diversification benefits even during times of market crises.

Number of Pages in PDF File: 28

JEL Classification: G11, G14, G15

working papers series





Download This Paper

Date posted: July 6, 1998  

Suggested Citation

Sarkar, Asani and Patel, Sandeep A., Stock Market Crises in Developed and Emerging Markets (April 1998). Available at SSRN: http://ssrn.com/abstract=76168 or http://dx.doi.org/10.2139/ssrn.76168

Contact Information

Asani Sarkar (Contact Author)
Federal Reserve Bank of New York ( email )
Research Department
33 Liberty Street
New York, NY 10045
United States
212-720-8943 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/sarkar/pub.html
Sandeep A. Patel
Standard & Poor's - Information Services ( email )
55 Water Street
New York, NY 10041
United States
212-438-3917 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 5,430
Downloads: 1,970
Download Rank: 3,674
References:  26
Citations:  17

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.265 seconds