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US Crashes of 2008 and 1929: How Did the French Market React? An Empirical Study

23 Pages Posted: 28 Aug 2015  

Raphaël Hekimian

Université Paris Ouest - Nanterre, La Défense - EconomiX

David Le Bris

Toulouse Business School

Date Written: August 27, 2015

Abstract

We compare the reaction of the Paris bourse to the US crashes during both the 2008 and the 1929 crises. We constitute a new dataset of daily French stock prices from February 1929 to March 1930 that we combine to the already existing daily series of the Dow Jones. We also use newspapers and minutes from the Banque de France and from the Paris Stock Exchange’s brokers syndicate in order to confront quantitative data with historical narratives. We finally run contagion tests in both periods, using adjusted correlation coefficients to test for pure contagion. In 1929, the Paris stock market does not exhibit any reaction to the New-York crash. The recent crisis is totally different with a clear contagion of the US crash. This study highlights a significant difference between the two crises and provides strong evidence that the transmission of the Great Depression used other channels than stock markets.

Keywords: Financial history, Financial crisis, Stock market, Contagion, Crash

JEL Classification: G150, G010, N12, N13

Suggested Citation

Hekimian, Raphaël and Le Bris, David, US Crashes of 2008 and 1929: How Did the French Market React? An Empirical Study (August 27, 2015). Available at SSRN: https://ssrn.com/abstract=2652629 or http://dx.doi.org/10.2139/ssrn.2652629

Raphaël Hekimian (Contact Author)

Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )

200 Avenue de la République
Nanterre cedex, Nanterre Cedex 92000
France

David Le Bris

Toulouse Business School ( email )

20, bd Lascrosses
Toulouse, 31068
France

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