EconPapers    
Economics at your fingertips  
 

Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia

W.N.w Azman-Saini (), Evan Lau () and Zulkefly Abdul Karim

Applied Economics Letters, 2010, vol. 17, issue 4, 393-397

Abstract: This article contributes to the debate on hedge funds and exchange rates in Thailand and Malaysia. It provides the first empirical evidence on causal relation between hedge funds and exchange rates. Using a new Granger noncausality procedure proposed by Toda and Yamamoto (1995) and monthly data for the January 1994 to April 2002 period, two important findings emerge. First, hedge funds lead Thai baht during the 1997 crisis. Second, there is a bidirectional causality between hedge funds and Malaysian ringgit for the pre-crisis period. In all other cases, no causal relation can be established.

Date: 2010
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:4:p:393-397

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Series data maintained by Michael McNulty ().

 
Page updated 2017-08-08
Handle: RePEc:taf:apeclt:v:17:y:2010:i:4:p:393-397