Journal of
Economics and International Finance

  • Abbreviation: J. Econ. Int. Finance
  • Language: English
  • ISSN: 2006-9812
  • DOI: 10.5897/JEIF
  • Start Year: 2009
  • Published Articles: 348

Full Length Research Paper

Hedge funds and their interaction with market parameters

Samet GÜNAY1,2 and Gökberk CAN1,3
  1Anadolu BÄ°L Vocational School, Ä°stanbul Aydin University, Florya Campus, Ä°stanbul, Turkey. 2Ä°stanbul University, Ä°stanbul, Turkey. 3Marmara University, Ä°stanbul, Turkey.
Email: [email protected]

  •  Accepted: 27 January 2012
  •  Published: 07 February 2012



The performance of hedge funds and other financial institutions has been carefully studied during the last financial crisis. In our study which spans through a time period of 31 December, 1999 to 21 June, 2011, the relationship between global hedge fund indice and Federal Reserve’s effective interest rate, and the relationship between the 10 year-term Treasury bill and the M2 monetary supply variables as the United States' economy indicator was tested with vector autoregression analysis (VAR). Based on the results obtained, the indices stastistically and significantly reflect the developments guiding the U.S. economy and then became effective on our present variables.


Key words: Hedge funds, vector autoregression analysis (VAR).