The truth is this - Yes it does vanish into thin air!
It is similar to someone doing a valuation on your house.
Companies such as RBS borrow money from the shareholders - who pay to buy shares
They pay dividends to stop the shareholders taking their money back
Shares at RBS that were worth £100 are now worth £65.
The shareholders might say - bad idea - let me have my money before the shares are only worth £35.
Bad new for RBS if all shareholders withdrew their money (which is when the government has to step in).
The last boom occurred when it seemed everybody could get a mortgage and had a house that was worth more and more
The last crash occurred when it was realised that this was not true - especially those houses where the owners defaulted on the mortgage, were evicted but the bank could not sell the house to anyone.