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

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  • Raphael Hekimian
  • David Le Bris

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.

Suggested Citation

  • Raphael Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," EconomiX Working Papers 2016-21, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2016-21
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    File URL: http://economix.fr/pdf/dt/2016/WP_EcoX_2016-21.pdf
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    References listed on IDEAS

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    Cited by:

    1. Gareth Campbell & Meeghan Rogers, 2017. "Integration between the London and New York Stock Exchanges, 1825–1925," Economic History Review, Economic History Society, vol. 70(4), pages 1185-1218, November.

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    More about this item

    Keywords

    Financial history; Financial crisis; Stock market; Contagion.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • N12 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - U.S.; Canada: 1913-
    • N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913

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