TY  - JOUR
A1  - Jagannathan, Ravi
A1  - Pelizzon, Loriana
A1  - Schaumburg, Ernst
A1  - Getmansky, Mila
A1  - Yuferova, Darya
T1  - Recovery from fast crashes: role of mutual funds
T2  - Journal of financial markets
N2  - 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 fast crashes.
KW  - Liquidity provision
KW  - Market fragility
KW  - Flash crash
KW  - Slow-moving capital
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/78546
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-785463
SN  - 1386-4181
VL  - 59.2022
IS  - 100646
PB  - Elsevier
CY  - Amsterdam
ER  -