Anatomy of Global Stock Market Crashes

1. Front Matter

   Pages i-x

   PDF

2. Introduction

   • Gagari Chakrabarti, Chitrakalpa Sen

   Pages 1-5

3. Stock Market Cycles and Volatility Regime Switch

   • Gagari Chakrabarti, Chitrakalpa Sen

   Pages 7-25

4. Crises and Latent Structure in the Global Stock Market

   • Gagari Chakrabarti, Chitrakalpa Sen

   Pages 27-47

5. Global Stock Market, Knife-Edge Stability and the Crisis

   • Gagari Chakrabarti, Chitrakalpa Sen

   Pages 49-62

This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.

• Granger Causality
• Knifes edge instability
• Nonlinearity
• Stock market cycle
• Structural break

• , Economics, Presidency University, Kolkata, India

  Gagari Chakrabarti

• G D Goenka Education City, Department of Economics, G D Goenka World Institute, Gurgaon, India

  Chitrakalpa Sen

Dr. Gagari Chakrabarti completed her Masters, M.Phil and Doctorate in Economics from the University of Calcutta and is currently working as an Assistant Professor at the prestigious Presidency University (erstwhile Presidency College) in Kolkata, India. Her area of specialization is Financial Economics and application of econometrics in financial economics. She has several national and international publications to her credit. Chitrakalpa Sen is a lecturer in Economics at G. D. Goenka World Institute - Lancaster University. He has completed his Masters in Economics from Calcutta University and currently pursuing PhD from West Bengal University of Technology. Mr. Sen's area of interest is financial economics, econometrics and non-linear application of econometrics in financial time series. He has presented his works in several national and international conferences and journals.

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