Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/18999

Title: Liquidity timing skills for hedge funds
Authors: Luo, Ji
Keywords: Hedge funds
Liquidity timing
Fixed income
Foreign exchange
Issue Date: 2015
Publisher: © Ji Luo
Abstract: In the thesis, we investigate whether hedge fund managers have liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. Managers with the liquidity timing skills can strategically adjust hedge funds exposure to the target financial market based on their forecasts about the future changes in market liquidity. We find empirical evidence that hedge funds in certain categories have the skills to time the liquidity levels in the fixed income market, foreign exchange market and commodity market. We conduct a range of robustness tests, which show that hedge funds still exhibit liquidity timing skills after controlling for the factors that may affect timing ability. In particular, our findings are robust to the usage of leverage, funding constraints, investor redemption restrictions, hedge funds trades on market liquidity, financial crisis, hedge fund data biases, market return and volatility timing, liquidity risk factor, systematic stale pricing and option factors. We also conduct bootstrap analysis to ensure the results are not dependent on the normality assumption. Our investigation is helpful to understand the importance of market liquidity to hedge funds professional portfolio management.
Description: A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy of Loughborough University.
Sponsor: none
URI: https://dspace.lboro.ac.uk/2134/18999
Appears in Collections:PhD Theses (Business School)

Files associated with this item:

File Description SizeFormat
Thesis-2015-Luo.pdf2.1 MBAdobe PDFView/Open
Form-2015-Luo.pdf1.94 MBAdobe PDFView/Open


SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.