دانلود رایگان مقاله نقدینگی زمانبندی در بازار ارز خارجی : آیا صندوق های سرمایه گذاری این کار را انجام می دهند؟

عنوان فارسی
نقدینگی زمانبندی در بازار ارز خارجی : آیا صندوق های سرمایه گذاری این کار را انجام می دهند؟
عنوان انگلیسی
Title: Timing the liquidity in the Foreign Exchange Market: Did the Hedge Funds do it?
صفحات مقاله فارسی
0
صفحات مقاله انگلیسی
49
سال انتشار
2017
نشریه
الزویر - Elsevier
فرمت مقاله انگلیسی
PDF
کد محصول
E5095
رشته های مرتبط با این مقاله
علوم اقتصادی
گرایش های مرتبط با این مقاله
اقتصاد پولی و اقتصاد مالی
مجله
مجله مدیریت مالی چند ملیتی - Journal of Multinational Financial Management
دانشگاه
دانشکده تجارت و اقتصاد، دانشگاه لفبورو، انگلستان
کلمات کلیدی
بازار ارز خارجی، بودجه هزاره، توانایی زمانبندی نقدینگی
۰.۰ (بدون امتیاز)
امتیاز دهید
چکیده

Abstract


Risks associated with international investments such as the foreign exchange (FX) exposure have recently gained increasing attention, especially those originating from the liquidity conditions of the FX market after the financial crisis of 2007-2008. This paper investigates whether hedge funds time the liquidity in the FX market and to what extent this contributes to their investment returns. This paper focuses on hedge funds that invest globally and transact in the FX market. Our findings, which are statistically robust, show the liquidity timing abilities of these hedge funds may be attributed to their investing styles and the types of assets they manage, where a stronger liquidity timing ability may be demanded of the systematic futures hedge funds to cushion against the exposure underlying the foreign assets.

نتیجه گیری

5. Discussion and conclusions


This paper investigates hedge funds’ liquidity timing ability in the FX market. Most studies in this area, however, have been focused on the equity and bond markets. The FX market is the world’s largest financial market and regarded as extremely liquid (Mancini et al., 2013), with an average daily trading volume that was reported to be an estimated 5.1 trillion US Dollars in April 2016 based on a recent survey (Bank for International Settlements, 2016). In a market with trading volume of such an enormous scale, what is the additional implication of liquidity condition for hedge funds, especially in relation to their style of trading? To provide better insight into this issue, this paper also relates liquidity in the FX market to the recent QE programmes implemented by the various countries in which huge liquidity is injected into the financial markets. Did these liquidity injections motivate hedge funds to time the liquidity in the FX market following the likely impact on the FX market? This is also a question this paper aims to address.


بدون دیدگاه