从快速崩溃中复苏:共同基金的角色

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-17 DOI:10.2139/ssrn.3239440

R. Jagannathan, L. Pelizzon, E. Schaumburg, Mila Getmansky Sherman, Darya Yuferova

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引用次数: 2

摘要

我们基于印度国家证券交易所的单个大型股票的数据，研究了共同基金在快速盘中暴跌后的恢复中所起的作用。在正常时期，与其他交易商相比，共同基金的交易活动和流动性提供可以忽略不计，仅占整体活动的4%左右。然而，在我们的样本中，对于两次盘中市场全面崩溃，价格只有在共同基金进入后才会回升。市场稳定可能需要资本充足的备用流动性提供者的存在，以从崩溃中恢复过来。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Recovery from Fast Crashes: Role of Mutual Funds

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 market- wide 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 crashes.

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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