GLOBAL MARKETS-Investors fret about rally, jobs data hurts

* World stocks down on worries about end of rally

* European shares down 0.9 percent, Japan 2.4 percent

* Wall Street set to open lower after jobs report

* Dollar falls against major currencies

By Jeremy Gaunt, European Investment Correspondent

LONDON, Sept 2 (Reuters) - World stocks fell on Wednesday with both Asia and Europe rattled by concerns over the sustainability of this year's equity rally.

The dollar was weaker against a basket of major currencies .DXY, and Wall Street looked set for poor start after a private employment report showed U.S. firms cut more jobs than expect in August.

U.S. private employers cut 298,000 jobs in August, fewer than a revised 360,000 jobs lost in July, but more than the 250,000 mean forecast in a Reuters poll, the ADP and Macroeconomic Advisers said its National Employment Report.

Anxiety about the health of financials and worries the 2009 global stock market rally may have run its course hit U.S. stocks hard on Tuesday and then carried over.

Japan's Nikkei .N225 closed down 2.4 percent for the day and Europe's FTSEurofirst 300 .FTEU3 was down 0.9 percent after the ADP report.

It all took around 0.9 percent off MSCI'S all-country world stock index .MIWD00000PUS and the more-volatile emerging market component .MSCIEF lost 1.4 percent.

Concerns have risen over the summer that stocks have risen so strongly since March that they are due a correction.

"The rebound from March has been remarkable. Year-to-date gains for most of the indexes are strong, although we are still below pre-Lehman Brothers levels," said Valerie Plagnol, chief strategist at CM-CIC Securities, in Paris.

"But the glass is still half-empty. Macro data has improved, but we're in a pattern of destocking-restocking, and the outlook for consumer spending is still grim."

As a result, the focus is shifting towards Wall Street, where the broad S&P 500 index .SPX has fallen 3.2 percent with three consecutive losing sessions.

It fell 2.2 percent on Tuesday.

"The question now is whether Wall Street will consolidate at this level or fall further," said Mitsushige Akino, chief fund manager at Ichiyoshi Investment Management.

FOREX STEADY

The yen rallied broadly, hitting a seven-week high against the dollar and other major rivals as the falling share prices stoked more risk aversion.

"We are constructive on data, we are constructive on risk as well, but price action short-term tells us that the market is already positioned for a recovery," said Carl Hammer, currency strategist at SEB in Stockholm.

"We need some more consolidation in the coming days before moving higher in terms of risk appetite."

The dollar JPY= was down 0.6 percent to 92.9 yen according to electronic trading platform EBS..

The euro EUR= was flat at $1.4215.

Euro zone bond yields were also relatively steady. Two-year paper EU2YT=RR was yielding 1.186 percent and Bunds EU10YT=RR were yielding 3.224 percent. (Additional reporting by Blaise Robinson, Elaine Lies and Naomi Tajitsu; editing by Ron Askew)

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