HOW big was China’s stockmarket crash? Dubbed “Black Monday”, August 24th ended with Chinese equities down 8.5%, wiping out hundreds of billions of dollars in market capitalisation. Like many things about China, this sounds massive. But is a one-day drop of this magnitude that unusual? Answering this question requires an understanding of China’s historical market volatility. In the last 25 years, the Shanghai Composite, China’s benchmark stock index, has closed within one percentage point of the previous day’s close on just 56% of all trading days, with an average movement of 0.09% (see chart). The standard deviation of the Shanghai Composite’s daily returns—a measure of market volatility—has been 2.6 percentage points.

The stockmarkets of rich countries during this period have been considerably less volatile. In the last 25 years, the S&P 500 index has moved by 1% or less on 74% of all trading days, with an average movement of 0.03%. The standard deviation of returns on the S&P 500 has been 1.1 percentage points, suggesting that American-listed shares are less than half as volatile as Chinese shares.

So was China’s stockmarket rout on Black Monday especially rare? Judging by the market’s historic volatility, the 8.5% sell-off on Monday was indeed an extreme anomaly, with the daily return falling more than three standard deviations away from the average—a so-called “three sigma” event.