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Les krachs boursiers en France depuis 1854

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  • David Le Bris

Abstract

Stock market crashes are crucial as a large part of the final value of any stock market index is realized during these extreme events. But, the same price variation in percentage does not have the same impact in a stable financial environment as in a highly volatile period. To identify crashes throughout time despite these changes in the volatility regime, a new method is proposed. Each price variation is measured in number of standard-deviations computed over the prior period. Worst variations after this adjustment show crashes. Results thus achieved are more consistent with history. For example, the WWI causes major stock adjusted variations despite a low level of volatility and low non-adjusted price variations. The recent period is characterized more by a high level of volatility than a time of frequent stock market crashes. Classification JEL : G1, G12, N23, N24.

Suggested Citation

  • David Le Bris, 2010. "Les krachs boursiers en France depuis 1854," Revue économique, Presses de Sciences-Po, vol. 61(3), pages 421-430.
    • Handle: RePEc:cai:recosp:reco_613_0421
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    Cited by:

    1. Oosterlinck, Kim & Accominotti, Olivier & BRIERE, Marie & Burietz, Aurore & Szafarz, Ariane, 2020. "Did Globalization Kill Contagion?," CEPR Discussion Papers 14395, C.E.P.R. Discussion Papers.
    2. Stéphane Hamayon & Florence Legros & Pradat Yannick, 2016. "Non gaussian returns: which impact on default options retirement plans? [Distribution non gaussienne des rendements : quel impact sur les options par défaut des plans d'épargne retraite ?]," Working Papers hal-03003588, HAL.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-

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