Note: due to feedback, this presentation has been further clarified with a second chart further below.
This is a visual statistical representation of the break down of market risk alignment, between two major economic regimes. For this illustration, we use the Nikkei 225 and the S&P 500. The thick dark red zones are the most acute amongst the 30 worst crashes, while the thin light blue zones are the least acute amongst the 30 worst crashes.
A further presentation of the results above are shown below. We show the top 7 market crashes for the Nikkei and the S&P. The bubbles are scaled based on the rank of the crash, and sample ranks are labeled. For example, the May 2013 -7.3% plunge in the Nikkei is the 7th worst one-day plunge in 29 years. As a result the data is on the farther end of the horizontal axis. Over the same period, the S&P's 7th worst one-day plunge was in the 1990s. So this data falls short of the farther end of the vertical axis (implying a timing misalignment).
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