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Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt
We conduct an experiment on the Egyptian money market by testing how volatility in interest rates and asymmetric (redemption-only) structure of money market funds (MMFs) affect investors who redeem after interest rate hikes, versus those who remain in the fund. We conduct simulations on MMFs with di...
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AUC Knowledge Fountain
2020
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| _version_ | 1867613420476432384 |
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| access_status_str | Open Access |
| author | Kordy, Kariman Karem |
| author_browse | Kordy, Kariman Karem |
| author_facet | Kordy, Kariman Karem |
| author_sort | Kordy, Kariman Karem |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. The author has granted the American University in Cairo or its agents a non-exclusive license to archive this thesis, dissertation, paper, or record of study, and to make it accessible, in whole or in part, in all forms of media, now or hereafter known. http://creativecommons.org/licenses/by-nd/4.0/ |
| description | We conduct an experiment on the Egyptian money market by testing how volatility in interest rates and asymmetric (redemption-only) structure of money market funds (MMFs) affect investors who redeem after interest rate hikes, versus those who remain in the fund. We conduct simulations on MMFs with different durations. Given current MMF accounting treatment, results show that increasing interest rates, higher redemptions than subscriptions, and longer fund durations cause unfair treatment of investors who remain in the fund after disrupted periods. The findings of this research have policy implications to regulators of MMFs in Egypt to apply a rule similar to the SEC's Rule 2a-7. Keywords: Money Market Funds, Global Financial Crisis, Shadow Banking, Floating NAV, Fixed NAV, Accumulated Fixed NAV, Accumulated Floating NAV, Money Market Fund Reforms. JEL Classification: G01; G14; G1 |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2769 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:51.500Z |
| license_str | Creative Commons |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-2769 Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt Kordy, Kariman Karem We conduct an experiment on the Egyptian money market by testing how volatility in interest rates and asymmetric (redemption-only) structure of money market funds (MMFs) affect investors who redeem after interest rate hikes, versus those who remain in the fund. We conduct simulations on MMFs with different durations. Given current MMF accounting treatment, results show that increasing interest rates, higher redemptions than subscriptions, and longer fund durations cause unfair treatment of investors who remain in the fund after disrupted periods. The findings of this research have policy implications to regulators of MMFs in Egypt to apply a rule similar to the SEC's Rule 2a-7. Keywords: Money Market Funds, Global Financial Crisis, Shadow Banking, Floating NAV, Fixed NAV, Accumulated Fixed NAV, Accumulated Floating NAV, Money Market Fund Reforms. JEL Classification: G01; G14; G1 2020-01-21T08:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1737 https://fount.aucegypt.edu/context/etds/article/2769/viewcontent/Kordy.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. The author has granted the American University in Cairo or its agents a non-exclusive license to archive this thesis, dissertation, paper, or record of study, and to make it accessible, in whole or in part, in all forms of media, now or hereafter known. http://creativecommons.org/licenses/by-nd/4.0/ Theses and Dissertations AUC Knowledge Fountain Money Market Funds Global Financial Crisis Business |
| spellingShingle | Money Market Funds Global Financial Crisis Business Kordy, Kariman Karem Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title | Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title_full | Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title_fullStr | Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title_full_unstemmed | Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title_short | Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt |
| title_sort | bad things happen to those who wait nav discrepancies of money market funds in egypt |
| topic | Money Market Funds Global Financial Crisis Business |
| url | https://fount.aucegypt.edu/etds/1737 https://fount.aucegypt.edu/context/etds/article/2769/viewcontent/Kordy.pdf |
| work_keys_str_mv | AT kordykarimankarem badthingshappentothosewhowaitnavdiscrepanciesofmoneymarketfundsinegypt |