Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2024-07-01
Handle: RePEc:nbr:nberwo:24098