Measuring the market impact of hedge funds

Published

Journal Article

Hedge funds often employ opportunistic trading strategies on a leveraged basis. It is natural to find their footprints in most major market events. A "small bet" by large hedge funds can be a sizeable transaction that can impact a market. This study estimates hedge fund exposures during a number of major market events. In some episodes, hedge funds had significant exposures and were in a position to exert substantial market impact. In other episodes, hedge fund exposures were insignificant, either in absolute terms or relative to other market participants. In all cases, we found no evidence of hedge funds using positive feedback trading strategies. There was also little evidence that hedge funds systematically caused market prices to deviate from economic fundamentals. © 2000 Elsevier Science B.V.

Full Text

Duke Authors

Cited Authors

  • Fung, W; Hsieh, DA

Published Date

  • January 1, 2000

Published In

Volume / Issue

  • 7 / 1

Start / End Page

  • 1 - 36

International Standard Serial Number (ISSN)

  • 0927-5398

Digital Object Identifier (DOI)

  • 10.1016/S0927-5398(00)00005-0

Citation Source

  • Scopus