| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24098 |
| 来源ID | Working Paper 24098 |
| Stock Price Crashes: Role of Slow-Moving Capital | |
| Mila Getmansky; Ravi Jagannathan; Loriana Pelizzon; Ernst Schaumburg; Darya Yuferova | |
| 发表日期 | 2017-12-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w24098 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581770 |
| 推荐引用方式 GB/T 7714 | Mila Getmansky,Ravi Jagannathan,Loriana Pelizzon,et al. Stock Price Crashes: Role of Slow-Moving Capital. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24098.pdf（869KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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