Abstract

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

School of Business

Department

Management Department

Degree Name

MS in Finance

Graduation Date

Fall 1-21-2020

Submission Date

1-21-2020

First Advisor

Tooma, Eskandar A.

Committee Member 1

Bassiouny, Aliaa

Committee Member 2

Samaha, Khaled

Extent

35 p.

Document Type

Master's Thesis

Rights

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.

Institutional Review Board (IRB) Approval

Not necessary for this item

Creative Commons License

Creative Commons Attribution-No Derivative Works 4.0 International License
This work is licensed under a Creative Commons Attribution-No Derivative Works 4.0 International License.

Available for download on Tuesday, September 26, 2023

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