Master Thesis Online
How do fund liquidity responses during stress conditions impact fund flows, and what are the implications for investor protection and fund management
Itha Iyeleza, Jonathan 
Promotor(s) : Fays, Boris
Date of defense : 2-Sep-2024/7-Sep-2024 • Permalink : http://hdl.handle.net/2268.2/21506
Details
| Title : | How do fund liquidity responses during stress conditions impact fund flows, and what are the implications for investor protection and fund management |
| Author : | Itha Iyeleza, Jonathan
|
| Date of defense : | 2-Sep-2024/7-Sep-2024 |
| Advisor(s) : | Fays, Boris |
| Committee's member(s) : | Prunier, Laurent
|
| Language : | English |
| Number of pages : | 52 |
| Keywords : | [fr] Funds, Equity, Flow, Market Stress [fr] VIX [fr] Bond |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[fr] This thesis investigates the flow-performance dynamics of equity mutual funds,
focusing on their implications for financial stability. Through the analysis of a
comprehensive dataset from Eikon Refinitiv, spanning from 2000 to 2023, we
examine how market conditions, particularly liquidity and stress indicators like the
VIX index, influence investor behavioursin these funds. Our findings reveal a convex
flow-performance relationship in equity funds, with heightened sensitivity to past
performance during periods of high market liquidity. Additionally, we demonstrate
that funds with higher liquidity buffers are more resilient to outflows during market
stress, underscoring the importance of liquidity management in mitigating systemic
risks. These insights provide valuable guidance for policymakers and financial
managers in fostering a more stable financial system.
File(s)
Document(s)
Equity Mutual Fund Dynamics Analysing the Influence of Performance Liquidity and Market Stress on Fund Flows.pdf
Description:
Size: 1.1 MB
Format: Adobe PDF
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