Mutual fund trading and liquidity
Author(s)
Chu, Ka Yin Kevin
DownloadFull printable version (2.623Mb)
Other Contributors
Sloan School of Management.
Advisor
Jiang Wang.
Terms of use
Metadata
Show full item recordAbstract
This thesis uses equities holdings snapshots of mutual funds to study their trading patterns. Using quarter and semi-annual holdings of mutual funds, I am able to extract a main trading component with the application of the asymptotic principle component method. This component demonstrates short term predictability of returns over three months, suggesting overall mutual fund trades contain a liquidity trading component that temporarily pushes up stock prices that reverse over the next few months. I also demonstrates that this particular type of liquidity risk is related to other measures of liquidity risk. Therefore, this trading component can be a useful building block in creating a comprehensive measure of liquidity.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2010. Cataloged from PDF version of thesis. Includes bibliographical references (p. 52-56).
Date issued
2010Department
Sloan School of ManagementPublisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.