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Hedge Funds and Exchange Rates Interactions in Indonesia: A Note

W.N.w Azman-Saini, Siong Hook Law, Abd Halim Ahmad, Rosmila Senik and Wan Zulqurnain Wan Ismail

The IUP Journal of Financial Economics, 2007, vol. V, issue 3, 59-63

Abstract: This article contributes to the debate on hedge funds and exchange rates in Indonesia. It examines causal relations using a new Granger noncausality procedure proposed by Toda and Yamamoto (1995). It utilizes monthly observations during January 1994 – April 2002. In order to better understand the issue, two sub-sample periods are considered. The pre-crisis period is from January 1994 to December 1996. The crisis period continues from January 1997 to April 2002. The findings show that the hedge funds Granger-cause rupiah for both periods. However, the causal effect is stronger for the crisis period.

Date: 2007
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Handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:59-63