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Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences

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  • Bertrand Maillet
  • Thierry Michel

Abstract

[eng] The lack of a universally recognized way of assessing the gravity of financial crises . The last events underlined the lack of a universally recognized way of assessing the gravity of financial crises. It motivates a measure recently proposed and applied to the exchange rates market by Zumbach et al (2000). This measure relies on the approach used in geophysics : the proposed Index of Market Shocks (IMS) is the analog of the Richter scale used for earthquakes. In this paper, we implement and apply 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 is actually the worst since 1987. However, when compared with the major historical crises, this one is still not - at the moment - amongst the ten worst. . JEL classifications : G10, G14 [fre] Les événements récents ont montré l’intérêt d’une mesure de la turbulence sur les marchés financiers. Les mesures classiques de volatilité ne permettent pas en effet de capter parfaitement les comportements et horizons hétérogènes des intervenants sur le marché. Nous appliquons ici une approche multidimensionnelle qui ne dépend pas du choix d’une fréquence d’observation particulière. Cette mesure - par analogie avec l’échelle de Richter qui caractérise les séismes - est graduée de manière à fournir une indication synthétique des turbulences de marché à un instant donné. Son application - sur courte et longue période - permet de montrer que la crise de septembre 2001 est importante (notamment sur le marché français) mais sans commune mesure - pour l’instant - avec les crises historiques qu’ont connues les marchés financiers sur le dernier siècle. . Classification JEL : G10, G14

Suggested Citation

  • Bertrand Maillet & Thierry Michel, 2002. "Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences," Revue d'Économie Financière, Programme National Persée, vol. 67(3), pages 269-276.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2002_num_67_3_3589
    DOI: 10.3406/ecofi.2002.3589
    Note: DOI:10.3406/ecofi.2002.3589
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    References listed on IDEAS

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    1. Bertrand Maillet & Thierry Michel, 2003. "An index of market shocks based on multiscale analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 88-97.
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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