Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 716.
Date of creation: Oct 2006
Date of revision:
Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia;
Find related papers by JEL classification:
- G2 - Financial Economics - - Financial Institutions and Services
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-12 (All new papers)
- NEP-CBA-2006-11-12 (Central Banking)
- NEP-IFN-2006-11-12 (International Finance)
- NEP-SEA-2006-11-12 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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