Recovery from fast crashes: Role of mutual funds

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 227

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Liquidity Provision ; Market Fragility ; Flash Crash ; Slow-Moving Capital

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jagannathan, Ravi ; Pelizzon, Loriana ; Schaumburg, Ernst ; Getmansky Sherman, Mila ; Yuferova, Darya
• Event: Veröffentlichung
• (who): Leibniz Institute for Financial Research SAFE
• (where): Frankfurt a. M.
• (when): 2021

Further information

• DOI: doi:10.2139/ssrn.3239440
• Handle: http://hdl.handle.net/10419/230681
• Last update: 10.03.2025, 11:42 AM CET