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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/24743

Title: Timing the liquidity in the Foreign Exchange Market: Did the Hedge Funds do it?
Authors: Luo, Ji
Tee, Kai-Hong
Li, Baibing
Keywords: Foreign exchange market
Hedge funds
Liquidity timing ability
Issue Date: 2017
Publisher: © Elsevier
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.
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.
Description: This paper is in closed access until 4th April 2019
Version: Accepted for publication
DOI: 10.1016/j.mulfin.2017.04.001
URI: https://dspace.lboro.ac.uk/2134/24743
Publisher Link: http://doi.org/10.1016/j.mulfin.2017.04.001
ISSN: 1873-1309
Appears in Collections:Closed Access (Business School)

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