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Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007


  • Varvara Isyuk

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)


In the aftermath of the recent bank-centered financial crisis it is still unclear how much of the decline in non-financial firms' stock prices was due to liquidity shortage, and how much of this decline was due to lower expected consumer demand. The stock returns are examined over nine periods between July 31, 2007 and March 31, 2010. The near-collapse of Bear Stearns and the failure of Lehman Brothers can be both characterised as liquidity shocks that had a greater impact on financially fragile non-financial firms. It was mostly improvement in demand expectations that positively affected the performance of US non-financial firms in the first months of recovery. In the later periods, however, neither amelioration in demand expectations nor improvement of financial conditions can explain the performance of US non-financial firms.

Suggested Citation

  • Varvara Isyuk, 2012. "Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00755562, HAL.
  • Handle: RePEc:hal:cesptp:halshs-00755562
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    References listed on IDEAS

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    Cited by:

    1. Nguyen, Ha & Qian, Rong, 2014. "Demand collapse or credit crunch to firms? Evidence from the World Bank's financial crisis survey in Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 125-144.
    2. Narendar Rao & K. Reddy, 2015. "The impact of the global financial crisis on cross-border mergers and acquisitions: a continental and industry analysis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 309-341, December.

    More about this item


    shock on demand expectations; Stock price returns; financial constraints; liquidity shortage; shock on demand expectations.; Cours des actions; contraintes financières; manque de liquidité; anticipations de la demande.;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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