US Crashes of 2008 and 1929 How did the French market react? An empirical study

Raphael Hekimian and David Le Bris

No 2016-21, EconomiX Working Papers from University of Paris Nanterre, EconomiX

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 Exchanges 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. (search for similar items in EconPapers)
JEL-codes: G01 G15 N12 N13 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2016
New Economics Papers: this item is included in nep-his and nep-net
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2016-21

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