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Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000

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Author Info
W. -X. Zhou (UCLA/Igpp)
D. Sornette (UCLA and CNRS-Univ. Nice)
Abstract

Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An ``anti-bubble'' is defined as a self-fulfilling decreasing price created by positive price-to-price feedbacks feeding overall pessimism and negative market sentiment further strengthened by inter-personal interactions. We mathematically characterize anti-bubbles by a power law decrease of the price (or of the logarithm of the price) as a function of time and by decelerating/expanding log-periodic oscillations. The majority of European and Western stock market indices as well as other stock indices exhibit practically the same log-periodic power law anti-bubble structure as found for the USA S&P500 index. These anti-bubbles are found to start approximately at the same time, August 2000, in all these markets. This shows a remarkable degree of synchronization worldwide. The descent of the worldwide stock markets since 2000 is thus an international event, suggesting the strengthening of globalization.

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File URL: http://arxiv.org/abs/cond-mat/0212010
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0212010.

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Date of creation: Nov 2002
Date of revision: Aug 2003
Publication status: Published in Physica A 330 (2003) 543-583
Handle: RePEc:arx:papers:cond-mat/0212010

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Larry Neal & Marc Weidenmier, 2002. "Crises in the Global Economy from Tulips to Today: Contagion and Consequences," NBER Working Papers 9147, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Michael D. Bordo & Antu Panini Murshid, 2002. "Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets," NBER Working Papers 9019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Anders Johansen & Didier Sornette, 1999. "Critical Crashes," Quantitative Finance Papers cond-mat/9901035, arXiv.org. [Downloadable!]
  5. D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Quantitative Finance Papers cond-mat/0102305, arXiv.org. [Downloadable!]
  6. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance Papers cond-mat/0106520, arXiv.org. [Downloadable!]
  7. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Quantitative Finance Papers cond-mat/0004263, arXiv.org, revised May 2000. [Downloadable!]
  8. D. Sornette & J. V. Andersen, 2001. "A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles," Quantitative Finance Papers cond-mat/0104341, arXiv.org, revised Apr 2002. [Downloadable!]
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  1. D. Sornette & W. -X. Zhou, 2003. "Predictability of large future changes in major financial indices," Quantitative Finance Papers cond-mat/0304601, arXiv.org, revised Aug 2004. [Downloadable!]
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