How Deep Was the September Stock Exchange Crisis? Putting Last Events into Perspective on the American and French Stock Markets with an Index of Market Shocks

7 Pages Posted: 20 Feb 2002

See all articles by Bertrand B. Maillet

Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Thierry Michel

Commission des Operations de Bourse

Date Written: January 2002

Abstract

Following the World Trade Centre disaster, markets reacted strongly 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 gravity of financial crises. A first measure is recently proposed and applied to the exchange rates market by Zumbach, et al (2000-a and 2000-b). Their measure relies on an analogy with geophysics; the related Index Market Shocks (IMS) that we propose here is also analogue to the Richter scale used for earthquakes. We implement this measure on the French and the American stock markets in order to put into perspective the recent market events. The crisis induced by September attacks was actually the worst since 1987. However, when compared with the major historical crises, this one is not amongst the ten worst - neither in magnitude nor length.

Keywords: Financial crises, Volatility, Risk Measurement, Heterogeneity of Economic Agents

JEL Classification: G10, G14

Suggested Citation

Maillet, Bertrand B. and Michel, Thierry, How Deep Was the September Stock Exchange Crisis? Putting Last Events into Perspective on the American and French Stock Markets with an Index of Market Shocks (January 2002). Available at SSRN: https://ssrn.com/abstract=300923 or http://dx.doi.org/10.2139/ssrn.300923

Bertrand B. Maillet

EMLyon Business School (Paris Campus) ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

Thierry Michel (Contact Author)

Commission des Operations de Bourse ( email )

17 place de la Bourse
F-75002 Paris
France

Register to save articles to
your library

Register

Paper statistics

Downloads
545
Abstract Views
2,252
rank
50,080
PlumX Metrics