Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/230681
Autoren: 
Jagannathan, Ravi
Pelizzon, Loriana
Schaumburg, Ernst
Getmansky Sherman, Mila
Yuferova, Darya
Datum: 
2021
Schriftenreihe/Nr.: 
SAFE Working Paper No. 227
Zusammenfassung: 
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.
Schlagwörter: 
Liquidity Provision
Market Fragility
Flash Crash
Slow-Moving Capital
JEL: 
G12
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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