Timing liquidity in the foreign exchange market: Did hedge funds do it?

Ji Luo, Kai-Hong Tee and Baibing Li

Journal of Multinational Financial Management, 2017, vol. 40, issue C, 47-62

Abstract: Risks associated with international investments such as foreign exchange (FX) exposure have recently gained increasing attention, especially those related to the liquidity conditions of the FX market after the financial crisis of 2007–2008. This paper investigates whether hedge funds time liquidity in the FX market and to what extent this contributes to their investment returns. We focus 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 systematic futures hedge funds to cushion against exposure underlying foreign assets.

Keywords: Foreign exchange market; Hedge funds; Liquidity timing ability (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X17300166
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62

DOI: 10.1016/j.mulfin.2017.04.001

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().