查看更多>>摘要：Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic power law singularity (LPPLS) methodology based on multilevel time series to unravel the underlying mechanisms of the 2020 global stock market crash by analyzing the trajectories of 10 major world stock market indexes from both developed and emergent stock markets, including the S&P 500, the DJIA, and the NASDAQ from the United State, the FTSE from the United Kingdom, the DAX from Germany, the NIKKEI from Japan, the CSI 300 from China, the HSI from Hong Kong, the BSESN from India, and the BOVESPA from Brazil. In order to effectively distinguish between endogenous crash and exogenous crash in stock market, we proposed using the LPPLS confidence indicator as a classification proxy. The results show that the apparent LPPLS bubble patterns of the super-exponential increase, corrected by the accelerating logarithm-periodic oscillations, have indeed presented in the price trajectories of the seven indexes: S&P 500, DJIA, NASDAQ DAX, CSI 300, BSESN, and BOVESPA, indicating that the large positive bubbles have formed endogenously prior to the 2020 stock market crash, and the subsequent crashes for the seven indexes are endogenous, stemming from the increasingly systemic instability of the stock markets inherently, while the well-known external shocks, such as the COVID-19 pandemic, the corporate debt bubble, and the 2020 Russia-Saudi Arabia oil price war, only served as sparks during the 2020 global stock market crash. In contrast, the crashes in the three remaining indexes: FTSE, NIKKEI, and HSI, are exogenous and hence are perhaps the only crashes truly due to the COVID-19 pandemic. We also found that in terms of the regime changes of the stock markets, no obvious LPPLS negative bubble pattern has been observed in the price trajectories of the 10 stock market indexes, indicating that the regime changes from a bear market to a bull market in late March 2020 are exogenous, stemming from external factors. The unprecedented market and economy rescue efforts from federal reserves and central banks across the world in unison may have played a critical role in quelling the 2020 global stock market crash in the nick of time. This paper creates a paradigm for future studies in real-time crash detection and underlying mechanism dissection. It serves to warn us of the imminent risks in not only the stock market but also other financial markets and economic indexes. (C) 2021 Elsevier B.V. All rights reserved.
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