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Stock price crashes : role of capital constrained traders

Author: Mila GetmanskyRavi JagannathanLoriana PelizzonErnst SchaumburgDarya YuferovaAll authors
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2017.
Series: Working paper series (National Bureau of Economic Research), no. 24098.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We study two fast crashes using orders/cancellations/trades data with trader identities for a stock trading in the spot and single stock futures markets on the National Stock Exchange of India during April-June/2006 when there was no algorithmic trading. Spot (futures) prices fell by 6.1% (4.6%) and 11.1% (12.3%) within 15 minutes during crashes. Buying by capital constrained short-term-traders who were the primary  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mila Getmansky; Ravi Jagannathan; Loriana Pelizzon; Ernst Schaumburg; Darya Yuferova; National Bureau of Economic Research,
OCLC Number: 1015252169
Notes: "December 2017"
Description: 1 online resource (53 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 24098.
Responsibility: Mila Getmansky, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova.

Abstract:

We study two fast crashes using orders/cancellations/trades data with trader identities for a stock trading in the spot and single stock futures markets on the National Stock Exchange of India during April-June/2006 when there was no algorithmic trading. Spot (futures) prices fell by 6.1% (4.6%) and 11.1% (12.3%) within 15 minutes during crashes. Buying by capital constrained short-term-traders who were the primary intraday liquidity providers was not sufficient to halt price decline. Domestic mutual funds, slow to move in, bought sufficient quantities leading to price recovery. Crashes and recoveries began in the spot market though volume was higher in futures.

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