Les krachs boursiers en France depuis 1854

David Le Bris

Revue économique, 2010, vol. 61, issue 3, 421-430

Abstract: Stock market crashes are crucial as a large part of the final value of any stock market index is realized during these extreme events. But, the same price variation in percentage does not have the same impact in a stable financial environment as in a highly volatile period. To identify crashes throughout time despite these changes in the volatility regime, a new method is proposed. Each price variation is measured in number of standard-deviations computed over the prior period. Worst variations after this adjustment show crashes. Results thus achieved are more consistent with history. For example, the WWI causes major stock adjusted variations despite a low level of volatility and low non-adjusted price variations. The recent period is characterized more by a high level of volatility than a time of frequent stock market crashes. Classification JEL : G1, G12, N23, N24.

JEL-codes: G1 G12 N23 N24 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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