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 shocks

Bertrand 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)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2002-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: 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 Shocks (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24936

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