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




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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.



Item Type: MPRA Paper -

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

Language: English-

Keywords: Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia-

Subjects: G - Financial Economics > G2 - Financial Institutions and ServicesF - International Economics > F3 - International Finance > F31 - Foreign Exchange-





Author: Azman-Saini, W.N.W.

Source: https://mpra.ub.uni-muenchen.de/716/







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