G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w24098
来源IDWorking 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
URLhttps://www.nber.org/papers/w24098
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/581770
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Mila Getmansky,Ravi Jagannathan,Loriana Pelizzon,et al. Stock Price Crashes: Role of Slow-Moving Capital. 2017.
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