Do designated market makers provide liquidity during downward extreme price movements?
利用包含交易者分类审计轨迹的独特数据集，研究了电子市场中指定做市商在极端价格下跌时的交易活动，发现当卖压集中于单只股票时做市商提供流动性，但多只股票受影响时则消耗流动性。
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer immediacy during periods of heavy selling pressure, or they might lean-with-the-wind to profit from private information. We test these competing theories during extreme (downward) price movements, which we detect using a novel methodology. We show that DMMs provide liquidity when the selling pressure is concentrated on a single stock, but consume liquidity (leaving liquidity provision to slower traders) when several stocks are affected.