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

Evan, Lau and WNW, Azman-Saini and Zulkefly Abdul Karim, Karim (2010) Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia. Applied Economics Letters, 17 (4). pp. 393-397. ISSN 1350–4851 (print), 1466–4291 (online)

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Abstract

This article contributes to the debate on hedge funds and exchange rates in Thailand and Malaysia. It provides the first empirical evidence on causal relation between hedge funds and exchange rates. Using a new Granger noncausality procedure proposed by Toda and Yamamoto (1995) and monthly data for the January 1994 to April 2002 period, two important findings emerge. First, hedge funds lead Thai baht during the 1997 crisis. Second, there is a bidirectional causality between hedge funds and Malaysian ringgit for the pre-crisis period. In all other cases, no causal relation can be established.

Item Type: Article
Uncontrolled Keywords: hedge funds, exchange rates, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 May 2015 04:06
Last Modified: 05 May 2015 04:06
URI: http://ir.unimas.my/id/eprint/7316

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