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
School of Business
MS in Finance
Tooma, Eskandar A.
Committee Member 1
Committee Member 2
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Kordy, K. K.
(2020).Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
Kordy, Kariman Karem. Bad things happen to those who wait: NAV discrepancies of money market funds in Egypt. 2020. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.
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Available for download on Tuesday, September 26, 2023