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Financial crises in the stock market are often regarded as relatively rare and destructive shocks that are hard to predict, also known as ‘ black swans’ in the conception of Nassim Taleb. We suggest a different approach based on studies by Laurence B. Siegel (US) and Paul D. Kaplan (Canada). They view crises as ‘black turkeys’, i.e. protracted events lasting from a downturn to full recovery.
From this perspective, crises are not rare and sudden. On the contrary, one or even several ‘black turkeys’ of different ages, which are almost unnoticeable to investors and regulators, appear to persist in most stock markets.
Based on this approach, we have measured the severity of financial crises depending on the depth of the drawdown in the indices and the time required for the indices to recover in 71 stock markets from 1969 to June 2026 (1, 2) (links in Russian). Our findings show that many major crises last for decades and often remain unresolved. In most cases, these ‘black turkeys’ appear to be more detrimental to investors’ capitalisation and wealth than ‘black swans’.
A crisis is more than a downturn
Generally, studies of financial crises have paid more attention to the moments when crises happen than to the way financial asset prices rebound after market crashes and the factors driving this process. However, this approach reduces crises to merely the stage when asset prices fall, disregarding the pace of asset price recovery to the pre-crisis level, which is no less important.
The criteria for a price decrease to be considered a crisis vary greatly, with certain studies suggesting a 15–25% year-over-year decline (1, 2, 3) and others gravitating towards a more significant downturn of at least 50% over one year or at least 50% over the following five years. Our approach, based on Siegel’s and Kaplan’s methodology, defines the onset of a crisis as a stock index decline of at least 20% from its pre-crisis peak.
Furthermore, we compare crises across different stock indices: in US dollars versus national currencies and on a price-return versus total-return basis. This enables us to establish four different ratings in terms of crisis severity in the countries in our study. We also analyse the key factors affecting financial markets’ ability to recover.
It turns out that many crises of previous decades persist to this day. Moreover, high dividends paid to investors only partially offset weak growth in the value of shares and the depreciation of national currencies. All of the above factors suggest a new outlook on the effect of financial crises on investors’ capitalisation and returns as well as on ensuring long-term financial stability.
Measuring crises
We apply the Siegel–Kaplan methodology to a group of leading global stock indices from Morgan Stanley Capital International (MSCI) for 71 countries (with the RTS Index calculated for Russia) for the period between 1969 to June 2026. The initial rating of crisis episodes in stock markets is based on the monthly values of the MSCI indices in US dollars.
Separate calculations are made for:
- price return indices, measuring only changes in the market value of the component stocks, excluding dividends; and
- total shareholder return (TSR) indices, including gross dividends.
This helps in comparing the depth and duration of market downturns for international investors in the formation of a global stock portfolio. Additionally, we conduct an assessment in the national currencies to show the extent of crises’ impact on domestic investors whose portfolios consist mainly of domestic stocks.
For each market, we highlight the periods of the index’s decline from its local maximum to its rebound to that level. If the index fails to recover by the last available date, the episode is considered ongoing.
For each episode, we calculate its duration, the index’s maximum and current drawdown, and a composite crisis severity index. The severity of a crisis depends not only on the depth of the decline but also on its duration, i.e. the deeper the drawdown and the longer the market stays below the previous peak, the higher the index.
To facilitate cross-country comparison, we set the highest rating score to 100, calculating the remaining scores as percentages of this value. We rank the crises by severity index in descending order, i.e. the higher the rank, the more severe the episode.
What crisis ratings show
The price return rating shows that financial crises are most detrimental to the foreign-currency price return on stocks, and therefore, to issuers’ capitalisation. Crises measured by the US-dollar price return on indices appear to be the most severe and longest-lasting.
Since 1969, the crises in China (beginning in December 1993), Thailand (beginning in December 1993), Greece (beginning in October 2007), Bahrain (beginning in March 2008), and Bulgaria (beginning in October 2007) have been the most severe. Furthermore, according to our methodology, all of them are ongoing as of June 2026.
The crises in China and Thailand, lasting as long as 32.5 years, were triggered by booming economic growth followed by overheating of the economies, depreciation of the currencies, and financial imbalances. The crises in Greece, Bahrain, and Bulgaria, although less protracted (18.2–18.7 years), were accompanied by a deeper market drawdown amid the global financial crisis of 2008 due to the structural problems in these economies. In all cases, the most severe financial crises stem from critical economic and financial issues that take long to be resolved.
According to our observations, the longest financial crisis is the crisis in Japan, which started in February 1989 and ended only in May 2025. For reference, it took the Dow Jones 25.3 years to recover after the Great Depression. We do not include the Great Depression in our ratings. If we included it, it would rank only eighth in duration of market recovery.
It is worth mentioning that the 100 most severe crises include no episodes involving the MSCI USA Index. This is evidence that, unlike other countries, the US has been able to prevent sharp downturns and long recoveries over the past 50 years.
The global financial crisis had the most significant effect on the foreign-currency price return on stock indices. According to our calculations, in 2008, it affected 66 of the 71 markets under analysis. As of June 2026 (18 years later), 28 (42.4%) of them remained below their pre-crisis peaks. Another four markets formally overcame the crisis of 2008 while remaining in earlier crisis episodes.
The price return-based rating includes two crises in Russia. The crisis that began in May 2008 has been ongoing for 18.1 years and ranks 35th; to date, the RTS Index has recovered only by 49.1%. The crisis that began in July 1997 and ended in August 2003 ranks 79th.
In addition to the main RTS Index crisis, ongoing since May 2008, another three nested RTS Index crises remain unresolved, namely, those that began in March 2011, October 2021, and April 2024 and have lasted for 15.3, 4.8, and 2.3 years, respectively. They score 68.9%, 20.8%, and 2.4% relative to the 2008 crisis in terms of severity. In other words, as regards the RTS Index, four ‘black turkeys’ are concurrently seen in the Russian market.
However, in terms total shareholder return rating, including dividends, the situation is different. The payment of dividends significantly mitigates the effects of financial crises, making them less detrimental, first of all, to investors’ wealth.
For example, given the above, the 1993 crisis shortens from 32.5 to 13.8 years in China and from 32.5 to 17.3 years in Thailand, and both of these crises have already ended. The duration of the financial crises in Greece, Bahrain, and Bulgaria barely change due to limited dividend payments.
The severity of Russian stock market crises, measured on a total-return basis, changes diversely. For example, the ongoing crisis that began in May 2008 drops from the 35th to the 48th place in the total return-based rating and is deemed to have ended in December 2019. Contrastingly, the crisis of 1997–2003 rises from the 79th to the 59th place, as virtually no dividends were paid during this period, while it was dividend yields that fuelled investors’ interest during other crisis episodes.
However, it should be borne in mind that high dividend payments limit companies’ investment opportunities and may be one of the factors slowing down the recovery of the price return after crises. A comparison of the two ratings shows that issuers may sacrifice higher capitalisation to ensure high total returns for shareholders.
Stabilisation factors
To identify the factors affecting short-term stock returns, we separately analyse the TSR in US dollars and local currencies.
In terms of the foreign-currency TSR, from 2000 to June 2026, the RTS Index lost its global leading position, falling far behind the averages of developed and emerging markets. From 2000 to 2026, the RTS Index return grew at a compound annual rate of 10.5% on average but dropped to 0.4% over 2008–2026 and to -2.4% in 2022–2026. Over the same periods, the returns of the emerging markets in the sample came in at 4.6%, 3.2%, and 11.4%, respectively.
Similar to other emerging markets, Russia saw a decline in the foreign-currency TSR, driven down by the depreciation of the national currency. In emerging markets, this factor caused the TSR index to decrease by 2.7 pp in 2000–2026, 3.3 pp in 2008–2026, and 3.1 pp in 2022–2026, with Russia recording declines of 4.4 pp, 6.1 pp, and 0.9 pp, respectively. Thus, over longer-term horizons, the TSR losses from ruble depreciation exceeded the averages recorded across emerging markets. In 2022–2026, the trend reversed due to ruble appreciation, which was related to specific factors such as low imports of investment amid sanctions and slower economic growth.
Further, unlike developed markets, emerging markets seek to increase the TSR by ensuring higher dividend yields. In 2000–2026, 2008–2026, and 2022–2026, dividend yields in emerging economies averaged 3.4%, 3.5%, and 4.5%, respectively. In Russia, the corresponding figures were even higher, at 4.2%, 5.31%, and 6.7%.
In terms of the growth rate of price returns in the national currencies, the emerging markets significantly outperformed the developed markets over the above three horizons. In Russia, the contribution of this factor to the TSR dived from 10.7 pp in 2000–2026 to 1.2 pp in 2008–2026 and -9.1 pp in 2022–2026. Stock price returns are largely driven by macroeconomic policy, monetary policy, and government development policy, which involves ensuring a favourable investment climate. The decomposition thus clarifies the nature of the crises in the Russian stock market. Over long-term horizons, the growth in US-dollar returns was constrained mainly by ruble depreciation, which, after 2022, was replaced by a slower increase in capitalisation. Dividends remain the primary mechanism of compensation for investors, especially after 2008. However, they are insufficient when the decline in capitalisation outweighs the dividend stream. Therefore, as of June 2026, the Russian market remains dividend-driven, while staying prone to protracted price crises and prolonged recovery periods.
The more people invest in stocks, the faster the long-term savings system develops, and the faster the significance of domestic equity financing rises, the more important are the factors ensuring long-term financial market stability.
The analysis of financial crises shows that the stock market’s growth potential depends on market participants’ multi-year efforts to ensure recovery and further development, rather than on short-term and unpredictable shocks.
The slow recovery of stock markets may trigger economic instability and decelerate growth similarly to banking system crises or abnormally high inflation. This means that measures to ensure stock market stability should not be limited only to prudential supervision. Stock market stability is achieved by stepping up efforts as part of macroeconomic, monetary, exchange rate, and development policies, insofar as they shape the long-term dynamics of financial asset prices.
