Hedgeové fondy a jejich vliv na stabilitu finančních trhů

Tomáš Jeřábek

Doctoral thesis

Hedge Funds and Their Impact on Financial Markets

Abstract:

Disertační práce analyzuje sektor hedgeových fondů a provádí zhodnocení vlivu těchto investičních entit na stabilitu finančních trhů. Dosažené závěry mají sloužit ke konfrontaci s předpoklady, na jejichž základě byly v období po globální finanční krizi v letech 2008 a 2009 provedeny významné regulatorní změny fungování hedgeových fondů. V disertační práci je nejprve přiblížena historie a aktuální vývoj hedgeových fondů a na základě definování specifických charakteristik vymezen termín hedgeový fond. V následující části jsou popsány základní charakteristiky, operační struktury a principy jejich fungování a je diskutována právní úprava hedgeových fondů v hlavních ekonomických centrech. V poslední části disertační práce je na základě výkonnostního indexu hedgeových fondů a reprezentativních tržních indexů provedena empirická analýza vlivu hedgeových fondů na stabilitu finančních trhů a dále zkoumána závislost mezi změnou pozic ve futures na 10-letý americký vládní dluhopis držených hedgeovými fondy a změnou vypořádacích cen futures na uvedené podkladové aktivum. V závěru disertační práce jsou interpretovány výsledky empirické analýzy v kontextu úpravy podmínek fungování hedgeových fondů v post-lehmanovském období a zhodnocen potenciál jejich budoucího rozvoje.

Abstract:

The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.

Keywords

regulace a dohled, Grangerova kauzalita, finanční krize, institucionální investoři, hedgeové fondy

Keywords

Granger causality, Institutional investors, Financial crisis, Regulation and Oversight, Hedge funds

Language used: Czech

Date on which the thesis was submitted / produced: 11. 4. 2016

Thesis defence

• Date of defence: 20. 5. 2016
• Supervisor: Petr Musílek
• Reader: Jaroslav Daňhel, Petr Čihák

Vysoká škola ekonomická v Praze

Doctoral programme / field:
Finance a účetnictví / Finance