TY  - UNPD
A1  - Getmansky, Mila
A1  - Jagannathan, Ravi
A1  - Pelizzon, Loriana
A1  - Schaumburg, Ernst
A1  - Yuferova, Darya
T1  - Stock price crashes: role of slow-moving capital
T2  - SAFE working paper series ; No. 227
N2  - We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who carry little inventory overnight are the primary intermediaries in both spot and futures markets, and changes in futures prices Granger-cause changes in spot prices. However, during two days of fast crashes, Granger-causality ran both ways. Both crashes were due to large-scale selling by foreign institutional investors in the spot market. Buying by short-term traders and cross-market traders was insufficient to stop the crashes. Mutual funds, patient traders with better trade-execution quality who were initially slow to move in, eventually bought sufficient quantities leading to price recovery in both markets. Our findings suggest that market stability requires the presence of well-capitalized standby liquidity providers.
T3  - SAFE working paper - 227 
KW  - Liquidity Provision
KW  - Market Fragility
KW  - Flash Crash
KW  - Slow-Moving Capital
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47239
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-472396
UR  - https://ssrn.com/abstract=3239440
IS  - July 16, 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -