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.

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Year of publication:	2021
Authors:	Jagannathan, Ravi ; Pelizzon, Loriana ; Schaumburg, Ernst ; Getmansky Sherman, Mila ; Yuferova, Darya
Publisher:	Frankfurt a. M. : Leibniz Institute for Financial Research SAFE
Subject:	Liquidity Provision \| Market Fragility \| Flash Crash \| Slow-Moving Capital

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Series:	SAFE Working Paper ; 227
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3239440 [DOI] 1748730339 [GVK] hdl:10419/230681 [Handle] RePEc:zbw:safewp:227 [RePEc]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10012432760