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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 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.

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Author:Ravi JagannathanGND, Loriana PelizzonORCiDGND, Ernst SchaumburgGND, Mila GetmanskyGND, Darya YuferovaORCiD
URN:urn:nbn:de:hebis:30:3-785463
DOI:https://doi.org/10.1016/j.finmar.2021.100646
ISSN:1386-4181
Parent Title (English):Journal of financial markets
Publisher:Elsevier
Place of publication:Amsterdam
Document Type:Article
Language:English
Date of Publication (online):2022/05/27
Date of first Publication:2021/05/31
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2024/01/16
Tag:Flash crash; Liquidity provision; Market fragility; Slow-moving capital
Volume:59.2022
Issue:100646
Article Number:100646
Page Number:18
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:G Financial Economics / G1 General Financial Markets / G12 Asset Pricing; Trading volume; Bond Interest Rates
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
Sammlungen:Universitätspublikationen
Licence (German):License LogoCreative Commons - CC BY-NC-ND - Namensnennung - Nicht kommerziell - Keine Bearbeitungen 4.0 International

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