Stock Price Crashes: Role of Slow-Moving Capital

Mila Getmansky, Ravi Jagannathan, Loriana Pelizzon (), Ernst Schaumburg and Darya Yuferova

No 24098, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G00 G1 G12 G14 G18 G2 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-fmk and nep-mst
Note: AP
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Citations: View citations in EconPapers (1)

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