 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 shocksBertrand Maillet and Thierry Michel LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library Abstract: 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. Keywords: financial crises; volatility; risk measurement; heterogeneity of economic agents (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24936 Access Statistics for this paper More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC. |
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