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

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  • Azman-Saini, W.N.W.

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.

Suggested Citation

  • Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:716
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    File URL: https://mpra.ub.uni-muenchen.de/716/1/MPRA_paper_716.pdf
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    References listed on IDEAS

    as
    1. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-1393, November.
    2. Stephen J. Brown & William N. Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," NBER Working Papers 6427, National Bureau of Economic Research, Inc.
    3. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 1-36, May.
    4. Mrs. Anne C Jansen & Mr. Donald J Mathieson & Mr. Barry J. Eichengreen & Ms. Laura E. Kodres & Mr. Bankim Chadha & Mr. Sunil Sharma, 1998. "Hedge Funds and Financial Market Dynamics," IMF Occasional Papers 1998/009, International Monetary Fund.
    5. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    6. Richard A. Brealey & Evi Kaplanis, 2001. "Hedge Funds and Financial Stability: An Analysis of their Factor Exposures," International Finance, Wiley Blackwell, vol. 4(2), pages 161-187.
    7. Zapata, Hector O & Rambaldi, Alicia N, 1997. "Monte Carlo Evidence on Cointegration and Causation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 285-298, May.
    8. repec:bla:intfin:v:4:y:2001:i:2:p:161-87 is not listed on IDEAS
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    More about this item

    Keywords

    Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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    This paper has been announced in the following NEP Reports:

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