IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpol/v2015y2015i1id990p91-107.html
   My bibliography  Save this article

Hedgeové fondy a akciové trhy
[Hedge Funds and Stock Markets]

Author

Listed:
  • Petr Musílek
  • Tomáš Jeřábek

Abstract

The presented article can be divided in three main parts. In the first one the authors define the term hedge fund and discuss briefly the history of these investment entities and their current position on the global financial markets. The second part of the article investigates the impact of hedge fund activities on stock markets. The findings of this analysis which is based on descriptive statistics and distribution of the yields of a hedge fund index and two representative stock market indices and the lagged correlation between them don't indicate that hedge funds have the potential to contribute in a significant way to the instability of stock markets. The third and final part of the article deals with the regulation of hedge funds. While the regulation of these investment vehicles before the 2007-2008 global financial crisis was rather light, significant changes were adopted as part of the regulatory response and overhaul of the financial markets. The Dodd-Frank Act in the US implemented among others new registration requirements for hedge funds and their advisors and imposed wide ranging information and record-keeping requirements on their activities.

Suggested Citation

  • Petr Musílek & Tomáš Jeřábek, 2015. "Hedgeové fondy a akciové trhy [Hedge Funds and Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(1), pages 91-107.
    • Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:1:id:990:p:91-107
    DOI: 10.18267/j.polek.990
    as

    Download full text from publisher

    File URL: http://polek.vse.cz/doi/10.18267/j.polek.990.html
    Download Restriction: free of charge
    File URL: http://polek.vse.cz/doi/10.18267/j.polek.990.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.polek.990?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
    2. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2010. "The Behavior of Hedge Funds during Liquidity Crises," Working Paper Series 2010-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 1-36, May.
    4. Tomas Garbaravicius & Frank Dierick, 2005. "Hedge funds and their implications for financial stability," Occasional Paper Series 34, European Central Bank.
    5. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    6. Fung, William & Hsieh, David A., 2000. "Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 291-307, September.
    7. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.
    8. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, June.
    9. Rodrigo Cifuentes & Hyun Song Shin & Gianluigi Ferrucci, 2005. "Liquidity Risk and Contagion," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 556-566, 04/05.
    10. Mr. Barry J. Eichengreen & Mr. Donald J Mathieson, 1999. "Hedge Funds: What Do We Really Know?," IMF Economic Issues 1999/002, International Monetary Fund.
    11. Adam L. Aiken & Christopher P. Clifford & Jesse Ellis, 2013. "Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 208-243.
    12. Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
    13. repec:oup:rfinst:v:26:y::i:1:p:208-243 is not listed on IDEAS
    14. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
    15. Barry J. Eichengreen & Donald J Mathieson, 1999. "Hedge Funds; What Do We Really Know?," IMF Economic Issues 19, International Monetary Fund.
    16. Garbaravicius, Tomas & Dierick, Frank, 2005. "Hedge funds and their implications for financial stability," Occasional Paper Series 34, European Central Bank.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    2. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    3. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    4. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    5. Navin Beekarry, 2010. "Hedge Funds and Offshore Financial Centers: New Challenges for the Regulation of Systemic Risks," Chapters, in: Benton E. Gup (ed.), The Financial and Economic Crises, chapter 11, Edward Elgar Publishing.
    6. King, Michael R. & Maier, Philipp, 2009. "Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks," Journal of Financial Stability, Elsevier, vol. 5(3), pages 283-297, September.
    7. Gregory Connor & Sheng Li, 2009. "Market Dispersion and the Profitability of Hedge Funds," Economics Department Working Paper Series n2000109.pdf, Department of Economics, National University of Ireland - Maynooth.
    8. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    9. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Economic Policy Review, Federal Reserve Bank of New York, vol. 13(Dec), pages 1-18.
    10. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    11. Russell Jame, 2018. "Liquidity Provision and the Cross Section of Hedge Fund Returns," Management Science, INFORMS, vol. 64(7), pages 3288-3312, July.
    12. Kosowski, Robert & Joenväärä, Juha & Kaupila, Mikko & Tolonen, Pekka, 2019. "Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?," CEPR Discussion Papers 13618, C.E.P.R. Discussion Papers.
    13. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    14. Funga, William & Hsiehb, David A., 2013. "Hedge Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1063-1125, Elsevier.
    15. Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016. "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, vol. 29(C), pages 2-11.
    16. Günter Franke, 2000. "Geschäfts‐ und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 1(3), pages 301-318, August.
    17. Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
    18. Vikas Agarwal & Vyacheslav Fos & Wei Jiang, 2013. "Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings," Management Science, INFORMS, vol. 59(6), pages 1271-1289, June.
    19. Mark A. Carlson & Jason Steinman, 2008. "Market conditions and hedge fund survival," Finance and Economics Discussion Series 2008-28, Board of Governors of the Federal Reserve System (U.S.).
    20. Benton E. Gup (ed.), 2010. "The Financial and Economic Crises," Books, Edward Elgar Publishing, number 13642.

    More about this item

    Keywords

    global financial crises; Institutional investors; hedge funds managers; regulation and supervision;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2015:y:2015:i:1:id:990:p:91-107. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.