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

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...

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Main Authors:	Evan, Lau, WNW, Azman-Saini, Zulkefly Abdul Karim, Karim
Format:	E-Article
Language:	English
Published:	Taylor & Francis 2010
Subjects:	HB Economic Theory HC Economic History and Conditions
Online Access:	http://ir.unimas.my/id/eprint/7316/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf http://ir.unimas.my/id/eprint/7316/ http://www.tandfonline.com/doi/pdf/10.1080/13504850701748883
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id	my.unimas.ir.7316
record_format	eprints
spelling	my.unimas.ir.73162015-05-05T04:06:15Z http://ir.unimas.my/id/eprint/7316/ Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia Evan, Lau WNW, Azman-Saini Zulkefly Abdul Karim, Karim HB Economic Theory HC Economic History and Conditions 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. Taylor & Francis 2010 E-Article PeerReviewed text en http://ir.unimas.my/id/eprint/7316/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf 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) http://www.tandfonline.com/doi/pdf/10.1080/13504850701748883 DOI: 10.1080/13504850701748883
institution	Universiti Malaysia Sarawak
building	Centre for Academic Information Services (CAIS)
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universiti Malaysia Sarawak
content_source	UNIMAS Institutional Repository
url_provider	http://ir.unimas.my/
language	English
topic	HB Economic Theory HC Economic History and Conditions
spellingShingle	HB Economic Theory HC Economic History and Conditions Evan, Lau WNW, Azman-Saini Zulkefly Abdul Karim, Karim Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
description	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.
format	E-Article
author	Evan, Lau WNW, Azman-Saini Zulkefly Abdul Karim, Karim
author_facet	Evan, Lau WNW, Azman-Saini Zulkefly Abdul Karim, Karim
author_sort	Evan, Lau
title	Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
title_short	Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
title_full	Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
title_fullStr	Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
title_full_unstemmed	Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia
title_sort	hedge funds, exchange rates and causality: evidence from thailand and malaysia
publisher	Taylor & Francis
publishDate	2010
url	http://ir.unimas.my/id/eprint/7316/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf http://ir.unimas.my/id/eprint/7316/ http://www.tandfonline.com/doi/pdf/10.1080/13504850701748883
_version_	1644510256953294848
score	13.244413

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

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