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Stock Price Crashes: Role of Slow-Moving Capital / Mila Getmansky, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova.
- Format:
- Book
- Author/Creator:
- Getmansky, Mila.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w24098.
- NBER working paper series no. w24098
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Stock Price Crashes
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- 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.
- Notes:
- Print version record
- December 2017.
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