Azman-Saini, W.N.W. (2006): Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia.
Download (129kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia|
|Keywords:||Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Azman-Saini W.N.W|
|Date Deposited:||09. Nov 2006|
|Last Modified:||19. Feb 2013 12:16|
Brealy, R. and Kaplanis, E. (2001) Hedge funds and financial stability: an analysis of factor exposures, International Finance, 4(2), 161-187.
Brown, S., Goetzmann, W. and Park, J. (2000) Hedge funds and the asian currency crisis, Journal of Portfolio Management, 26(4), 95-101.
Eichengreen, B., Mathieson, D., Chadha, B., Jansen, A., Kodres, L. and Sharma, S. (1998) Hedge funds and financial market dynamics, International Monetary Fund, Occasional Paper 166, Washington, DC.
Fung, W. and Shieh, D.A. (2000) Measuring the market impact of hedge funds Journal of Empirical Finance, 7, 1-36.
Fung, W. and Shieh, D.A. (2002) Hedge-fund benchmarks: information content and biases, Financial Analyst Journal, 58(1), 22-34.
Mohamad. M. (1997) Highwaymen of the Global Economy, Wall Street Journal, 9/23.
Rambaldi, A.N. and Doran, H.E. (1996) Testing for granger non-causality in cointegrated systems made easy, Working paper in Econometrics and Applied Statistics No 88, department of Econometrics, University of New England.
Toda, H. Y. and Phillips, P.C.B. (1993) Vector autoregressions and causality, Econometrica, 61, 1367-1393.
Toda, H. Y. and Yamamoto, T. (1995) Statistical inference in vector autoregression with possibly integrated processes, Journal of Econometrics, 66, 225-250.
Wall Street Journal, Sept. 5, 1997, p. C1.
Zapata, H.O. and Rambaldi A.N. (1997) Monte carlo evidence on cointegration and causation, Oxford Bulletin of Economics and Statistics, 59(2), 285-298.