You might want to ask this in r/SocialScience or r/Economics, as this isn't exactly a history question, but a question on the functioning of Financial Markets. But we can, if you'd like, examine the question from a historic perspective, looking at where Economic Historians stand on the causes of the Stock Market Crash of 1929 and the great depression. I'll link a few additional answers for you on the bottom of this post.

To offer you some background: Financial Instruments, which include tradable securities like Stocks and Bonds, are fundamentally worth whatever someone is willing to pay for them. When there are many buyers compared to sellers, shrewd brokers and traders can demand higher prices; likewise when there are many sellers and few buyers, sellers will "race to the bottom" with the price at which they sell, seeing as for whatever reason they all evidently want to get the stock off their hands.

What this also means is that after buying a stock, its value will be regularly updated based on the prices at which it's "Trading" in the exchange. While value of Stocks in anyone's portfolio can rise in value or fall in value over the course of a single day, if that specific portfolio owner (or manager) hasn't moved any of their stocks since buying them, these movements in the market haven't actually cost them any money.

Of course, when the prices of many stocks fall very rapidly, we can generally assume something undesirable is going on. At any rate, someone who has sunk a lot of money into expensive stocks isn't going to be happy if they see people trading those same stocks at lower and lower prices. This is especially bad if they can't afford to wait it out, since for whatever reason it might take weeks, months, or even years for the stock's value to recover after a particularly bad drip, especially if the stock was bought when it was "Over-Valued." See, generally stocks are priced as a function of the health of the company that issued them, projections of that company's future growth, as well as on the value of dividends which that company might distribute to its investors; if a stock's price is rising in a way that is not justified by any of these aforementioned criteria, some will say the stock is "Over-Valued" and it's good bet that sooner or later, the jig will be up and the price will fall.

So you can imagine the Stock Market Crash of 1929 and the bubble with preceded it did not come of nowhere. Over the course of the 1920s countless players in the market were willing and able to buy (and sell) stocks at higher and higher prices until suddenly, the music stopped and no one was willing to buy at those prices anymore. What happened?

In short, it has to do with how those stock purchases were financed in the first place. You see, American Banks had made an unprecedented literal and figurative killing loaning money to Europe during the First World War, and had a decade where they were reeling in hefty interest payments. Because banks were sitting on piles of cash, they were willing to lend to people they might not have loaned cash out to in other circumstances. Some of the people banks lent to went on to invest in the stock market, but a whole lot of people also invested in things like homes, while companies also took out loans they otherwise wouldn't have. The more an economy overheats, the harder it crashes; seeing the precipitous increase in lending and deciding to do something about it, in 1928 Federal Reserve board of directors ordered to sterilize gold inflows. You see, at this point in time the US dollar, along with most of the world's currencies, was pegged to Gold: although normally central banks were lenient about banks lending more currency than they had gold to redeem, under sterilization banknotes and gold had to match 1-to-1. This, predictably, brought lending to a halt as banks focused on building up reserves to meet the new requirement. As a direct consequence, this also brought economic activity to a screeching halt; the banks weren't making risky loans anymore, but they weren't loaning to healthy companies either. Debt is a vital tool not just for companies looking to start new projects, but also for companies to cover brief shortfalls in cash and complete their daily operations: within a year, the US economy was in recession. So the Stock Market Crash didn't cause this extended recession, but it certainly forewarned of it seeing that given sterilization, the music had stopped.

I offered an explanation from the Keynesian point of view some four years ago in this post which I think you'll be interested in (Keynes is dated as a theoretical economist, but he was spot-on when describing the economy he was living in). A year later I wrote yet another answer on the same topic which is a bit more practical.