Very large one-day market falls

Analysis of the behaviour of the FTSE100 Index for very large one-day falls.

Distribution of very large falls

Since 1984 there have been 189 very large one-day falls, where “very large fall” is defined as a move more than two standard deviations beyond the average daily change in the index. In other words, a very large fall is any decrease over -2.19%.

The following chart plots just these very large one-day falls.

FTSE 100 Index - very large one-day falls [1984-2014]As can be seen, although the greatest fall was in 1987, the frequency of these large falls is higher in recent years.

10 greatest one-day falls

The following table shows the ten largest one-day falls in the FTSE 100 Index since 1984.

FTSE 100 Index 10 greatest one-day fallsAfter the fall

The following chart shows how on average the index behaves in the days following a very large fall. The Y-axis is the percentage move from the close of the index on the day of the large fall. For example, by day 5 the index has risen 0.8% above the index close on the day of the large fall.

FTSE 100 average returns in the days after a large one-day fall [1984-2014]As can be seen, the index rises steadily in the days following a very large fall, and by the 20th day the market had rebounded 1.4% from the close of the day of the large fall.

See also

Other articles on large one-day moves.

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