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Timing the liquidity in the Foreign Exchange Market: Did the Hedge Funds do it?

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journal contribution
posted on 20.04.2017, 12:41 by Ji Luo, Kai-Hong TeeKai-Hong Tee, Baibing LiBaibing Li
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Journal of Multinational Financial Management

Citation

LI, J., TEE, K-H. and LI, B., 2017. Timing the liquidity in the Foreign Exchange Market: Did the Hedge Funds do it? Journal of Multinational Financial Management, 40, pp.47-62.

Publisher

© Elsevier

Version

AM (Accepted Manuscript)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Acceptance date

01/04/2017

Publication date

2017

Notes

This paper was accepted for publication in the journal Journal of Multinational Financial Management and the definitive published version is available at http://doi.org/10.1016/j.mulfin.2017.04.001

ISSN

1873-1309

Language

en