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

W.N.W. Azman-Saini

MPRA Paper from University Library of Munich, Germany

Abstract: This article contributes to the debate on hedge funds and exchange rates in Thailand and Malaysia. It examines causal relations using a new Granger non-causality procedure proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Monthly observations are utilized over a sample period from January, 1994 to April, 2002. The results show that the funds lead Thai baht for the crisis period. The results also reveal that the funds lead Malaysian ringgit for the pre-crisis period.

Keywords: Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia (search for similar items in EconPapers)
JEL-codes: F31 G2 (search for similar items in EconPapers)
Date: 2006-10
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:716

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