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<p>I use an event study approach to examine the impact of the 2024 Nikkei 225 crash (05 August 2024) on 72 global stock market indices. Further, I also examine whether the macroeconomic characteristics of the sample nations control the cumulative impact of the exogenous shock. I apply the market model estimation with a 252-day estimation window and an 11-day event window. I find that the Nikkei 225 crash 2024 led to a significant − 1.93% average abnormal return globally. The Asia-Pacific markets (ex-Japan) faced the most severe initial shock but rebounded quickly, while pan-American markets showed delayed recovery and Europe, Middle East and African markets remained relatively insulated. Developed and emerging markets exhibited stronger reactions, whereas frontier and standalone markets remained unaffected. Cross-sectional results highlight that stronger governance and larger economies amplified negative abnormal returns, while inflation prolonged adverse effects. The extant literature suggests that the nuances of regional and market maturity-specific responses to a major stock market crash remain relatively underexplored. Hence, this study fills this significant gap. The findings contribute to market integration literature, emphasizing how market maturity and financial integration absorb external shocks. The event study findings are robust to Generalized Auto-regressive Conditional Heteroskedasticity and the cross-sectional results are robust to the Huber-White estimations.</p>

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Global market reactions to the 2024 Nikkei 225 stock market crash

  • 期刊论文

  • 发表日期：

    2026年4月10日

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  • Dharen Kumar Pandey

摘要

I use an event study approach to examine the impact of the 2024 Nikkei 225 crash (05 August 2024) on 72 global stock market indices. Further, I also examine whether the macroeconomic characteristics of the sample nations control the cumulative impact of the exogenous shock. I apply the market model estimation with a 252-day estimation window and an 11-day event window. I find that the Nikkei 225 crash 2024 led to a significant − 1.93% average abnormal return globally. The Asia-Pacific markets (ex-Japan) faced the most severe initial shock but rebounded quickly, while pan-American markets showed delayed recovery and Europe, Middle East and African markets remained relatively insulated. Developed and emerging markets exhibited stronger reactions, whereas frontier and standalone markets remained unaffected. Cross-sectional results highlight that stronger governance and larger economies amplified negative abnormal returns, while inflation prolonged adverse effects. The extant literature suggests that the nuances of regional and market maturity-specific responses to a major stock market crash remain relatively underexplored. Hence, this study fills this significant gap. The findings contribute to market integration literature, emphasizing how market maturity and financial integration absorb external shocks. The event study findings are robust to Generalized Auto-regressive Conditional Heteroskedasticity and the cross-sectional results are robust to the Huber-White estimations.