Munich Personal RePEc Archive

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

Azman-Saini, W.N.W. (2006): Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia.

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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.

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