The Stock Market Crash in Five Countries, October 1987, and Macroeconomic Consequences (United Kingdom, Germany, French, Japan, and Netherlands)

Yıl 2024, Cilt: 6 Sayı: 2, 321 - 372, 31.12.2024

Cengiz Samur

Öz

A dramatic “price crash” was experienced in the USA Stock Market, in October 1987 when it was looked at main indexes (such as DJ, S&P, Nasdaq, NYSE) in the stock market with respect daily, monthly, quarterly datas. Stock market collapse describes a situation where a decline over 10% happened in the price index. In the study, it is searched a response empirically for question of “whether or not stock market crashes were lived not only in the USA but also in other developed countries, especially in the five countries (UK, Germany, French, Japan, Netherlands)”, in October 1987. It is surveyed the change in FTS 100 (UK), DAX (Germany), CAC 40 (French), Nikkei 225 (Japan), AEX (Netherlands), that appeared on 19/20 October, in October month, in 4th quarter of 1987. Thus, it was diagnosed “whether or not a market crash occurred” if these indexes are considered. Moreover, it was researched if or not a macroeconomic slowdown or recession in these countries at the same period. In this purpose, the changes that the indicators of real economic growth, unemployment rate, total industrial production exhibited were determined. Three conclusions could be reached: (i) in regard to 19/20 October 1987, a stock market crash only happened in UK, Netherlands, and Japan, (ii) in regard to both October 1987 and 4th quarter of 1987, stock market crash happen in everyone. (iii) A macroeconomic slowdown was lived in Germany and Netherlands, and a recession was experienced in French if the industrial production index is took benchmark.

Anahtar Kelimeler

Crash, stock markets, recession, slowdown, developed economies.

Ekim 1987’de Beş Ülkede Borsa Çöküşü ve Makroiktisadî Sonuçlar (İngiltere, Almanya, Fransa, Japonya, Hollanda)

Öz

Ekim 1987’de ABD’de Hisse Senedi Piyasasında, belli başlı piyasa endekslerine [Dow Jones (DJ), S&P, Nasdaq, New York Stock Exchange (NYSE) gibi] günlük, aylık veya çeyreklik veriler îtibarıyle bakıldığında, dramatik bir fiyat çöküşü tecrübe edilmiştir. Hisse senedi piyasası (borsa) çöküşü piyasa endeksinde asgarî %10 kadarlık bir düşüş durumunu tanımlar. Çalışmada Ekim 1987’de gelişmiş ülkelerde de borsa çöküşleri yaşanıp yaşanmadığı sorusuna 5 ülke (İngiltere, Almanya, Fransa, Japonya, Hollanda) özelinde amprik sûrette cevap aranmaktadır. FTS 100 (İngiltere), DAX (Almanya), CAC 40 (Fransa), Nikkei 225 (Japonya), AEX (Hollanda) endekslerinin 19/20 Ekim 1987, Ekim 1987, 1987/4. çeyreği zarfında sergiledikleri değişim tetkik edilmiştir. Böylece bu endekslere bakıldığında bir piyasa çöküşü vukû bulup bulmadığı teşhis edilmiştir. İlâveten, aynı dönemde bu ülkelerde bir makroekonomik yavaşlama veya durgunluk meydana gelip gelmediği araştırılmış, bu maksatla reel ekonomik büyüme, işsizlik oranı, sınaî üretim göstergelerinin sergilediği değişim tesbit edilmiştir. Üç sonuca ulaşılabilmiştir: (i) 19/20 Ekim 1987 îtibarıyle günlük bazda yalnızca İngiltere, Japonya, Hollanda’da, (ii) hem 1987 Ekimi ve hem de 1987/4. çeyrek îtibarıyle 5 ülkenin hepsinde borsa çöküşü meydana gelmiştir. (iii) 1987’nin 4. çeyreği îtibarıyle; Almanya ve Hollanda’da makroekonomik yavaşlama, Fransa’da ise sınaî üretim endeksi ölçü alındığında bir durgunluk tecrübe edilmiştir.

Anahtar Kelimeler

Çöküş, hisse senedi piyasası, borsa, iktisadî durgunluk, iktisadî yavaşlama, gelişmiş ekonomiler.

Kaynakça

• Bernhard, D. & Eckblad, E. (2013). Stock Market Crash of 1987. Federal Reserve History Erişim Adresi:https://www.federalreservehistory.org/essays/stock-market-crash-of-1987 Erişim Tarihi: 15.04.2024.
• Börse Frankfurt, DAX, Historical Prices and Volumes [DAX/indice/price/historical prices and volumes DAX] Erişim Adresi: https://www,boerse-frankfurt,de/indices/dax/price-history/historical-prices-and-volumes Erişim Tarihi: 12.03.2024.
• Bundesbank (a), Monthly Report of the Deutch Bundesbank (January 1986) Erişim Adresi:https://www.bundesbank.de/resource/blob/705272/15ae4724b8a8c642bd0bc539bb7060dc/mL/1986-01-monthly-report-data.pdf Erişim Tarihi: 10.03.2024.
• Bundesbank (b), Monthly Report of the Deutch Bundesbank (December 1987, March 1988, January 1989, January 1991) Erişim Adresi:https://www.bundesbank.de/resource/blob/705320/a22f9385ff1939018c09b99166a5500c/mL/1987-12-monthly-report-data.pdf Erişim Tarihi: 12.03.2024. Erişim Adresi:https://www.bundesbank.de/resource/blob/705336/7b16fc0e0407e80c128505aee6369ff7/mL/1988-03-monthly-report-data.pdf Erişim Tarihi: 13.03.2024. Erişim Adresi:https://www.bundesbank.de/resource/blob/705360/cc2bb44b26d2c0b40bea8c97beeae2de/mL/1989-01-monthly-report-data.pdf Erişim Tarihi: 12.03.2024. Erişim Adresi:https://www.bundesbank.de/resource/blob/705400/3c075bb63070e8b7ab9f057fddb943b8/mL/1991-01-monthly-report-data.pdf Erişim Tarihi: 13.03.2024.
• Bundesbank (c), Monthly Report of the Deutch Bundesbank, (January 1990). Statistical Section, VII. Public finance, Tablo 1. The money stocks and its counterparts Erişim Adresi:https://www.bundesbank.de/resource/blob/705380/66e7a0c49bbd3f24f0d05b978e992e2c/mL/1990-01-monthly-report-data.pdf Erişim Tarihi: 17.12.2024.
• Carlson, M. (2006). A Brief History of the 1987 Stock Market Crash with a Discussion of the Federal Reserve Response Erişim Adresi: https://www.federalreserve.gov/pubs/feds/2007/200713/200713pap.pdf Erişim Tarihi: 10.06.2024 https://www.federalreserve.gov/econres/feds/a-brief-history-of-the-1987-stock-market-crash-with-a-discussion-of-the-federal-reserve-response.htm Erişim Tarihi: 10.05.2024.
• Eurostat, Unemployment by sex and age – monthly data (seasonally adjusted). European Statistical Recovery Dashboard/Unemployment Erişim Adresi:https://ec.europa.eu/eurostat/databrowser/view/UNE_RT_M__custom_9164944/default/table?lang=en Erişim Tarihi: 10.02.2024. ExchangeHistoryNL. 1987 Black Monday Erişim Adresi: https://www.beursgeschiedenis.nl/en/ Erişim Tarihi: 10.07.2024, Erişim Adresi: https://www.beursgeschiedenis.nl/en/moment/black-monday/ Erişim Tarihi: 10.07.2024.
• Fauzi, R. & Wahyudi, I. (2016). The Effect of Firm and Stock Characteristics on Stock Returns: Stock Market Crash Analysis. ScienceDirect, The Journal of Finance and Data Science, 2: 112-124 Erişim Adresi:https://www.sciencedirect.com/science/article/pii/S2405918816300204 Erişim Tarihi: 12.07.2024.
• Fortune, P. (1993). Stock Market Crashes: What Have We Learned from October 1987? New England Economic Review, (March/April 1993): 3-24 Erişim Adresi: http://www.bostonfed.org/economic/neer/neer1993/neer293a.pdf Erişim Tarihi: 10.05.2024. Erişim Adresi: https://ideas.repec.org/a/fip/fedbne/y1993imarp3-24.html Erişim Tarihi: 10.05.2024.
• FRED (St. Louis FED) (a1), Economic Data, Real Gross Domestic Product for United Kingdom (DISCONTINUED), Millions of Chained 2010 British Pounds, Quarterly, Seasonally Adjusted. Erişim Adresi: https://fred.stlouisfed.org/searchresults/?st=gdp&isTst=1 altında, FRED (St. Louis FED) (a2), Economic Data, Real Gross Domestic Product for United Kingdom (DISCONTINUED), Millions of Chained 2010 British Pounds, Annual, Seasonally Adjusted. Erişim Adresi: https://fred.stlouisfed.org/searchresults/?st=gdp&isTst=1 -Real Gross Domestic Product for United Kingdom (DISCONTINUED). Erişim Adresi:https://fred.stlouisfed.org/series/CLVMNACSCAB1GQUK (Edit Graph) (download data) Erişim Tarihi: 03.03.2024.
• FRED (St. Louis FED) (b1), Economic Data, Real Gross Domestic Product for France, Millions of Chained 2010 Euros, Quarterly, Seasonally Adjusted. Erişim Adresi:https://fred.stlouisfed.org/searchresults/?st=gdp&isTst=1 altında, Real Gross Domestic Product for France. Erişim Adresi:https://fred.stlouisfed.org/series/CLVMNACSCAB1GQFR (download data) Erişim Tarihi: 05.03.2024.
• FRED (St. Louis FED) (b2), Economic Data, Real Gross Domestic Product for France, Millions of Chained 2010 Euros, Annual, Seasonally Adjusted Erişim Adresi:https://fred.stlouisfed.org/searchresults/?st=gdp&isTst=1 altında, Real Gross Domestic Product for France. Erişim Adresi: https://fred.stlouisfed.org/series/CLVMNACSCAB1GQFR#0 Erişim Tarihi: 06.03.2024.
• FRED (St. Louis FED) (c1), ALFRED (Archival Economic Data|St. Louis FED), National Accounts: GDP by Expenditure: Constant Prices: Gross Domestic Product: Total for Germany Vintage: 2024-01-07, Index 2015=100, Quarterly, Seasonally Adjusted Erişim Adresi:https://alfred.stlouisfed.org/category?cid=32291&t=germany&ob=pv&od=desc. Erişim Adresi:https://alfred.stlouisfed.org/graph/?id=NAEXKP01DEQ657S,NAEXKP01DEQ661S,DEUGDPRQPSMEI,NAEXKP01DEA657S,NAEXKP01DEA661S,Erişim Tarihi: 08.03.2024.
• FRED (St. Louis FED) (c2), ALFRED (Archival Economic Data|St. Louis FED), National Accounts: GDP by Expenditure: Constant Prices: Gross Domestic Product: Total for Germany Vintage: 2024-01-07, Index 2015=100, Annual, Seasonally Adjusted
• FRED (St. Louis FED) (d1), ALFRED (Archival Economic Data of FRED), Gross Domestic Product: Original Series for the Netherlands Vintage: 2024-01-07, Index 2015=100, Quarterly, Seasonally Adjusted (Leading Indicators OECD, Reference Series)
• FRED (St. Louis FED) (d2), ALFRED (Archival Economic Data of FRED), Real GDP in Netherlands (DISCONTINUED) Vintage: 2024-01-07, Millions of 2011 U.S. Dollars, Annual, Not Seasonally Adjusted Erişim Adresi:https://alfred.stlouisfed.org/category?cid=32291&et=&ob=pv&od=desc&pageID=5&t=netherlands -Real GDP in Netherlands (DISCONTINUED) . Erişim Adresi:https://alfred.stlouisfed.org/graph/?id=NLDRGDPR,Erişim Tarihi: 12.03.2024.
• FRED (St. Louis FED) (e1), Economic Data, Industrial Production & Capacity Utilization, Production: Industry: Total Industry Excluding Construction, Index 2015=100, Quarterly, Not Seasonally Adjusted (France, Germany, Japan, Netherlands) Erişim Adresi:https://fred.stlouisfed.org/categories/32294 Erişim Tarihi: 15.03.2024.
• FRED (St. Louis FED) (e2), Economic Data, Industrial Production & Capacity Utilization, Production: Industry: Total Industry Excluding Construction, Index 2015=100, Annual, Not Seasonally Adjusted (France, Germany, Japan, Netherlands) Erişim Adresi:https://fred.stlouisfed.org/categories/32294 Erişim Tarihi: 10.02.2024. https://alfred.stlouisfed.org/category?cid=32291&et=&ob=pv&od=desc&pageID=3&t=netherlands . Erişim Adresi: Leading Indicators OECD: Reference Series: Gross Domestic Product: Original Series for the Netherlands, https://alfred.stlouisfed.org/graph/?id=LORSGPORNLQ661S,Erişim Tarihi: 12.03.2024. https://alfred.stlouisfed.org/category?cid=32291&t=germany&ob=pv&od=desc. Erişim Adresi:https://alfred.stlouisfed.org/graph/?id=NAEXKP01DEQ657S,NAEXKP01DEQ661S,DEUGDPRQPSMEI,NAEXKP01DEA657S,NAEXKP01DEA661S,Erişim Tarihi: 08.03.2024.
• IMF (2023), World Economic Outlook Database, October 2023 Erişim Adresi:https://www.imf.org/en/Publications/WEO/weo-database/2023/October/select-subjects?c=132,134,158,138,112, Erişim Tarihi: 17.12.2024.
• INSEE (institut national de la statistiqe et des études économiqes), Interactive Tools, French Economy Dashboard, Unemployment rate Erişim Adresi:https://www.insee.fr/en/outil-interactif/5543645/tableau/50_MTS/52_CHO Erişim Tarihi: 20.01.2024.
• Investing.com (a), CAC 40 (French), 1987-2023 (daily).
• Investing.com (b), AEX (Netherlands), 1983-2023 (daily).
• Investopedia (2022). What Is a Stock Market Crash? Erişim Adresi: https://www.investopedia.com/terms/s/stock-market-crash.asp Erişim Tarihi: 12.07.2024.
• Investopedia (2023). What Is an Economic Shock & Effects of Different Types. Erişim Adresi: https://www.investopedia.com/terms/e/economic-shock.asp Erişim Tarihi: 12.07.2024.
• Investopedia (2024). Timeline of U.S. Stock Market Crashes: The Most Economically Impactful Crashes within the Last 100 Years Erişim Adresi: https://www.investopedia.com/timeline-of-stock-market-crashes-5217820 Erişim Tarihi: 14.07.2024.
• Kyle, Albert S. & Obizhaeva, Anna A. (2013). Large Bets and Stock Market Crashes Erişim Adresi:https://www.american.edu/kogod/research/upload/20130906_kyle_obizhaeva-crashes-66-circulate.pdf Erişim Tarihi: 8.06.2024.
• Le Bris, D. (2010). What is a Market Crash? SSRN Erişim Adresi:https://www.academia.edu/29343747/What_is_a_Market_Crash Erişim Tarihi: 10.07.2024.
• McKeon, R. & Netter, Jeffry M. (2009). What Caused the 1987 Stock Market Crash and Lessons for the 2008 Crash. Review of Accounting and Finance, 8(2): 123-137 Erişim Adresi:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1330220 Erişim Tarihi: 08.04.2024.
• Mishkin, Frederic S. & White, Eugene N. (2002). US Stock Market Crashes and Their Aftermath, NBER, Working Paper, wp no. 8992 Erişim Adresi:https://www.nber.org/system/files/working_papers/w8992/w8992.pdf Erişim Tarihi: 08.07.2024.
• Nygaard, Kaleb B. (2020). The Federal Reserve’s Response to the 1987 Market Crash (U.S. Historical). Journal of Financial Crises, 2(3): 116-130 Erişim Adresi:https://elischolar.library.yale.edu/cgi/viewcontent.cgi?article=1109&context=journal-of-financial-crises (Erişim: 08.05.2024), https://elischolar.library.yale.edu/journal-of-financial-crises/vol2/iss3/4/ Erişim Tarihi: 08.05.2024.
• Obstfeld, M. (1994). The Logic of Currency Crises. NBER, Working Paper, wp no. 4640 Erişim Adresi:https://www.nber.org/system/files/working_papers/w4640/w4640.pdf Erişim Tarihi: 17.12.2024.
• Obstfeld, M. (1995). Models of Currency Crises with Self-Fulfilling Features. NBER, Working Paper, wp no. 5285 Erişim Adresi:https://www.nber.org/system/files/working_papers/w5285/w5285.pdf Erişim Tarihi: 18.12.2024.
• OECD.Stat, OECDiLibray, Main Economic Indicators (UK, customise), Total Industry Excluding Construction (Index, 2015=100, s.a.) Erişim Adresi:https://stats.oecd.org/viewhtml.aspx?datasetcode=MEI&lang=en# Erişim Tarihi: 12.03.2024.
• Office for National Statistics- UK (2024) (a), LFS: ILO Unemployment rate: UK: Aged 16 - 64, SA: %, (frequency: month, quarter, year) Erişim Adresi: https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment/timeseries/lf2q/lms Erişim Tarihi: 14.03.2024. Erişim Adresi:https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment#datasets Erişim Tarihi: 14.03.2024. Erişim Adresi:https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment#timeseries Erişim Tarihi: 15.03.2024.
• Office for National Statistics-UK (2024) (b), Labour Force Survey Summary (seasonally adjusted). [in ‘A01. Summary of labour market statistics’ (Release date: 12 December 2023), Table 1] Erişim Adresi: https://www.ons.gov.uk/employmentandlabourmarket/peopleinwork/employmentandemployeetypes/datasets/summaryoflabourmarketstatistics Erişim Tarihi: 31.12.2023. Erişim Adresi:https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment#timeseries Erişim Tarihi: 31.12.2024.
• Patel, Sandeep A. & Sarkar, A. (1998b). Stock Market Crises in Developed and Emerging Markets. SSRN Erişim Adresi: https://ssrn.com/abstract=76168 Erişim Tarihi: 10.07.2024. Erişim Adresi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=76168 Erişim Tarihi: 10.07.2024.
• Patel, Sandeep A. & Sarkar, A. (1998a). Crises in Developed and Emerging Stock Markets. JSTOR, Financial Analysts Journal, 54(6) (November/ December): 50-61 Erişim Adresi:http://www.jstor.org/stable/4480124 Erişim Tarihi: 12.07.2024. Real Gross Domestic Product for United Kingdom (DISCONTINUED). Erişim Adresi:https://fred.stlouisfed.org/series/CLVMNACSCAB1GQUK Erişim Tarihi: 03.03.2024.
• Roll, R. (1988). The International Crash of October 1987. JSTOR, Financial Analysts Journal, 1988, 44(5): 19-35 Erişim Adresi: https://www.jstor.org/stable/4479142?seq=1 Erişim Tarihi: 18.07.2024. Erişim Adresi: https://www.jstor.org/stable/pdf/4479142.pdf?refreqid=fastly-default%3A2493bf1d541cb5693d34641751578def&ab_segments=&origin=&initiator=&acceptTC=1 Erişim Tarihi: 18.07.2024.
• S&P Global (S&P Dow Jones Indice LLC) (2024), DJA Performance Report Daily, Erişim Adresi:https://www.spglobal.com/spdji/en/web-data-downloads/reports/dja-performance-report-daily.xls?force_download=true Erişim Tarihi: 01.08.2024.
• Samur, C. (2015). 1997 Asya Krizi Öncesinde Kriz Ülkelerinin Makroekonomik Sağlamlığı. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 2015, 65(1): 107-174 Erişim Adresi:https://dergipark.org.tr/en/download/article-file/234697 Erişim Tarihi: 20.12.2024.
• Schaede, U. (1991). Black Monday in New York, Blue Tuesday in Tokyo: The October 1987 Crash in Japan. California Management Review, 33(2) (Winter 1991): 39-57 Erişim Adresi:https://journals.sagepub.com/doi/abs/10.2307/41166649 Erişim Tarihi: 19.07.2024. Erişim Adresi: https://www.researchgate.net/publication/24139397 Erişim Tarihi: 19.07.2024.
• Schwert, G. W. (1989), Stock Volatility and the Crash ’87. NBER, Working Paper, wp no. 2954 Erişim Adresi:https://www.nber.org/system/files/working_papers/w2954/w2954.pdf Erişim Tarihi: 20.07.2024.
• Shiskin, J. (1974). Points of My View: The Changing of Business Cycle. New York Times (December 1, 1974) Erişim Adresi:https://www.nytimes.com/1974/12/01/archives/the-changing-business-cycle-points-op-view.html Erişim Tarihi: 10.06.2024.
• Statistics of Japan (a) (2024), e-Stat, Visualition & Tools/Graph (Statistics Dashboard)/Data, Seasonally Adjusted Gross Domestic Product (Expenditure approach) (Real) (2000 base) [billion yen] Erişim Adresi: https://dashboard.e-stat.go.jp/en/dataSearch Erişim Tarihi: 20.03.2024. Statistics of Japan (b) (2024), e-Stat, Unemployment rate [by age group] (since 1968) Erişim Adresi:https://www.e-stat.go.jp/en/stat-search/files?page=1&layout=datalist&toukei=00200531&tstat=000000110001&cycle=0&tclass1=000001040276&tclass2=000001011681&tclass3val=0 Erişim Tarihi: 03.04.2024 . Erişim Adresi:https://www.e-stat.go.jp/en/stat-search/files?tclass=000000110009&cycle=0 Erişim Tarihi: 18.03.2024.
• Stehle, R. & Schmidt, Martin H. (2015). Returns on German Stocks 1954 to 2013. Credit and Capital Markets, Jahrgang: 48, Heft. 3, Steiten. 427-476 Erişim Adresi:https://d-nb.info/1270010077/34 Erişim Tarihi: 07.07.2024.
• The Guardian (6 February 2018). Angela Monaghan, Daniel Hurst, and Edward Helmore. FTSE and European Stock Markets Fall after US and Asia Rout Erişim Adresi:https://www.theguardian.com/business/2018/feb/06/stock-markest-carnage-ftse-london-europe-falls-plunge Erişim Tarihi: 14.07.2024.
• Wall Street Journal (WSJ.com) (a) (2024). NASDAQ Composite Index (Historical Prices). WJS.com/Markets&Finance/Market Data/Market Data Home or U.S. Stocks/Nasdaq Composite/Historical Prices Erişim Adresi:https://www.wsj.com/market-data/quotes/index/COMP/historical-prices Erişim Tarihi: 01.08.2024.
• Wall Street Journal (WSJ.com) (b) (2024). FTSE 100, 1985-2023 (daily). Erişim Adresi:https://www.wsj.com/market-data/quotes/index/UK/FTSE%20UK/UKX/historical-prices Erişim Tarihi: 15.12.2023.
• Wall Street Journal (WJS.com) (c) (2024). Nikkei 225 (Japon), 1970-2023 (daily) Erişim Adresi:https://www.wsj.com/market-data/quotes/index/JP/XTKS/NIK/historical-prices Erişim Tarihi: 18.12.2023.
• World Bank (2024) World Development Indicators (WDI) Erişim Adresi:https://databank.worldbank.org/source/world-development-indicators# Erişim Tarihi: 20.12.2024.