IDEAS home Printed from https://ideas.repec.org/a/prs/recofi/ecofi_0987-3368_2011_num_101_1_6003.html
   My bibliography  Save this article

L’impact différencié de la faillite de Lehman Brothers sur les valeurs bancaires et financières américaines : une étude d’événement

Author

Listed:
  • Nicolas Dumontaux
  • Adrian Pop

Abstract

[eng] The spectacular failure of the 150-year old investment bank Lehman Brothers has been perceived by many as a major turning point in the global financial crisis that broke out in the summer 2007. The specter of systemic risk raised fears of a full-scale collapse of the US financial sector due to financial contagion and concerns about significant disturbances outside the US, in international financial markets. Through the use of stock market data, this article examines the investors’ reaction to Lehman Brothers collapse in an attempt to identify a contagion effect on the surviving financial institutions. The empirical analysis indicates that (i) the collateral damages were limited to the largest financial firms ; (ii) the most affected institutions were the surviving “ non-bank” financial services firms (mortgage and specialty finance, investment services, and diversified financial services firms) ; (iii) the negative effect was strongly correlated with financial conditions of the surviving institutions. . Classification JEL : G21, G28. [fre] La faillite spectaculaire de la banque d’investissement Lehman Brothers a été perçue par de nombreux analystes comme un véritable point de retournement dans la crise financière actuelle. Le spectre du risque systémique a semé la panique parmi les investisseurs, non seulement aux États-Unis, mais aussi sur les marchés financiers internationaux. À l’aide de séries boursières sur le cours des actions des établissements financiers, nous analysons la perception de la faillite de Lehman Brothers aux États-Unis en étudiant la réaction des investisseurs à l’annonce de cet évènement spectaculaire et inattendu. Nos résultats montrent que les dommages collatéraux associés à cette faillite se sont fait sentir de manière significative dans plusieurs sous-groupes spécifiques d’institutions : (i) les entreprises spécialisées dans les services financiers proches du secteur d’activité de Lehman Brothers, mais aussi (ii) les plus grandes banques et entreprises financières, qui sont au coeur même du système financier, ainsi que (iii) les entreprises spécialisées dans les crédits immobiliers. . Classification JEL : G21, G28.

Suggested Citation

  • Nicolas Dumontaux & Adrian Pop, 2011. "L’impact différencié de la faillite de Lehman Brothers sur les valeurs bancaires et financières américaines : une étude d’événement," Revue d'Économie Financière, Programme National Persée, vol. 101(1), pages 261-272.
  • Handle: RePEc:prs:recofi:ecofi_0987-3368_2011_num_101_1_6003
    DOI: 10.3406/ecofi.2011.6003
    Note: DOI:10.3406/ecofi.2011.6003
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/ecofi.2011.6003
    Download Restriction: no

    File URL: https://www.persee.fr/doc/ecofi_0987-3368_2011_num_101_1_6003
    Download Restriction: no

    File URL: https://libkey.io/10.3406/ecofi.2011.6003?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:recofi:ecofi_0987-3368_2011_num_101_1_6003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/ecofi .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.