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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Routledge
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/14990/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf |
| _version_ | 1796968756543488000 |
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| author | Wan Ngah, Wan Azman Saini Lau, Evan Poh Hock Abdul Karim, Zulkefly |
| author_facet | Wan Ngah, Wan Azman Saini Lau, Evan Poh Hock Abdul Karim, Zulkefly |
| author_sort | Wan Ngah, Wan Azman Saini |
| collection | UPM |
| 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. |
| first_indexed | 2024-03-06T07:33:00Z |
| format | Article |
| id | upm.eprints-14990 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T07:33:00Z |
| publishDate | 2010 |
| publisher | Routledge |
| record_format | dspace |
| spelling | upm.eprints-149902019-05-08T07:45:29Z http://psasir.upm.edu.my/id/eprint/14990/ Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia Wan Ngah, Wan Azman Saini Lau, Evan Poh Hock Abdul Karim, Zulkefly 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. Routledge 2010 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/14990/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf Wan Ngah, Wan Azman Saini and Lau, Evan Poh Hock and Abdul Karim, Zulkefly (2010) Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia. Applied Economics Letters, 17 (4). pp. 393-397. ISSN 1350-4851; ESSN: 1466-4291 https://www.tandfonline.com/doi/abs/10.1080/13504850701748883 10.1080/13504850701748883 |
| spellingShingle | Wan Ngah, Wan Azman Saini Lau, Evan Poh Hock Abdul Karim, Zulkefly Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia |
| title | 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_short | Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia |
| title_sort | hedge funds exchange rates and causality evidence from thailand and malaysia |
| url | http://psasir.upm.edu.my/id/eprint/14990/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf |
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