No Place To Hide: The Global Crisis in Equity Markets in 2008/09

By Söhnke M. Bartram, Gordon M. Bodnar. 2009

215 citations recorded by the source corpus.

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.

View Paper: https://www.semanticscholar.org/paper/10d24891a5c22693ac2b0c28ac424830da57a605

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Citations in the corpus

Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2010, background): “However as indicated by Bartram and Bodnar (2009), the global equity market crisis can be dated around September 15, 2008, the day of Lehamn Brothers bankruptcy.”
Stock market integration of emerging Asian economies: Patterns and causes (2014, unknown): “…recent studies on market integration suggest that national stock markets have become much more correlated than in recent decades (see Arouri et al., 2012; Assidenou, 2011; Bartram and Bodnar, 2009; Chakrabarti, 2011; Dooley and Hutchinson, 2009; Pesaran and Pesaran, 2010; Syriopoulos, 2007).”
Financialization in commodity markets: A passing trend or the new normal? (2015, background): “…risk spillovers by the inception of the financial crisis, which had its full scale impact on markets following the weeks after the Lehman default (Bartram and Bodnar, 2009): in the months following the Lehman collapse in September 2008, the prices of most tradable assets experienced simultaneous…”
No contagion, only globalization and flight to quality (2012, background): “For instance, Dooley and Hutchison (2009) and Bartram and Bodnar (2009) underline the impact of the recent financial crisis on emerging markets.”