Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/225340
Authors: 
Jagannathan, Ravi
Pelizzon, Loriana
Schaumburg, Ernst
Getmansky Sherman, Mila
Yuferova, Darya
Year of Publication: 
2020
Series/Report no.: 
SAFE Working Paper 227
Abstract: 
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 market- wide 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 crashes.
Subjects: 
Liquidity Provision
Market Fragility
Flash Crash
Slow-Moving Capital
JEL: 
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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