Recovery from fast crashes : role of mutual funds

Ravi Jagannathan/Loriana Pelizzon/Ernst Schaumburg/Mila Getmansky Sherman/Darya Yuferova

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 crashes.

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Year of publication:	[2020]
Authors:	Jagannathan, Ravi ; Pelizzon, Loriana ; Schaumburg, Ernst ; Getmansky, Mila ; Yuferova, Darya
Publisher:	Frankfurt am Main : Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe
Subject:	Liquidity Provision \| Market Fragility \| Flash Crash \| Slow-Moving Capital \| Finanzkrise \| Financial crisis \| Investmentfonds \| Investment Fund \| Liquidität \| Liquidity \| Theorie \| Theory \| Marktliquidität \| Market liquidity

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Extent:	1 Online-Ressource (circa 66 Seiten) Illustrationen
Series:	SAFE working paper. - Frankfurt am Main : SAFE, ZDB-ID 2745463-0. - Vol. no. 227
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3239440 [DOI] hdl:10419/225340 [Handle]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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