No place to hide: The global crisis in equity markets in 2008/2009
This paper provides a broad analysis of the effect of the current financial crisis on global equity markets and their major components. We also examine the magnitude of the crisis in terms of value destruction in comparison to other market crashes. In brief, upon looking at return performance across an array of regions, countries, and sectors, broad market averages are down approximately 40% on their end of 2006 levels. While deterioration started in most markets in early to mid 2008, the crisis period of mid-September to the end of October 2008 is responsible for the lion's share of the collapse with just about all indices falling 30-40% in this short period. Financial sectors have taken a bigger hit than non-financials over the period, though they both suffered similarly during the peak of the crisis. Due to larger rises in 2007 the emerging markets drop more in 2008 than developed markets but in large part end up at the same level as the other markets. The global nature of the crisis is also apparent from the high correlations between markets and investment styles that further increased during the crisis. As a result, diversification provided little help to investors when needed most as markets dropped in tandem.
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.:
- Elena Loukoianova & Gianni De NicolÃ³ & John H. Boyd, 2009.
"Banking Crises and Crisis Dating; Theory and Evidence,"
IMF Working Papers
09/141, International Monetary Fund.
- John Boyd & Gianni De Nicolò & Elena Loukoianova, 2010. "Banking Crises and Crisis Dating: Theory and Evidence," CESifo Working Paper Series 3134, CESifo Group Munich.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973, April.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2014.
"This Time is Different: A Panoramic View of Eight Centuries of Financial Crises,"
Annals of Economics and Finance,
Society for AEF, vol. 15(2), pages 1065-1188, November.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers 595, China Economics and Management Academy, Central University of Finance and Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," NBER Working Papers 13882, National Bureau of Economic Research, Inc.
- Allen, Franklin & Carletti, Elena & Gale, Douglas, 2009.
"Interbank market liquidity and central bank intervention,"
Journal of Monetary Economics,
Elsevier, vol. 56(5), pages 639-652, July.
- Franklin Allen & Elena Carletti & Douglas Gale, 2009. "Interbank Market Liquidity and Central Bank Intervention," Economics Working Papers ECO2009/09, European University Institute.
- Guillaume Plantin & Haresh Sapra & Hyun Song Shin, 2008.
"Marking-to-Market: Panacea or Pandora's Box?,"
Journal of Accounting Research,
Wiley Blackwell, vol. 46(2), pages 435-460, 05.
- Reinhart, Carmen M. & Rogoff, Kenneth, 2009.
"Banking Crises: An Equal Opportunity Menace,"
CEPR Discussion Papers
7131, C.E.P.R. Discussion Papers.
- Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.
- Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:28:y:2009:i:8:p:1246-1292. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.