Arbeitspapier
Recovery from fast crashes: Role of mutual funds
We study the role mutual funds play in the recovery from fast intraday crashes based on data from the National Stock Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is negligible compared to other traders at around 4% of overall activity. Nevertheless, for the two intraday marketwide crashes in our sample, price recovery took place only after mutual funds moved in. Market stability may require the presence of well-capitalized standby liquidity providers for recovery from fast crashes.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 227
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Liquidity Provision
Market Fragility
Flash Crash
Slow-Moving Capital
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jagannathan, Ravi
Pelizzon, Loriana
Schaumburg, Ernst
Getmansky Sherman, Mila
Yuferova, Darya
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Institute for Financial Research SAFE
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2139/ssrn.3239440
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jagannathan, Ravi
- Pelizzon, Loriana
- Schaumburg, Ernst
- Getmansky Sherman, Mila
- Yuferova, Darya
- Leibniz Institute for Financial Research SAFE
Entstanden
- 2021
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