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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| Format: | Article |
| Language: | English |
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Taylor & Francis
2010
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| Online Access: | http://ir.unimas.my/id/eprint/7316/ http://ir.unimas.my/id/eprint/7316/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf |
| _version_ | 1848836103052722176 |
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| 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 |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| 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 | 2025-11-15T06:18:26Z |
| format | Article |
| id | unimas-7316 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:18:26Z |
| publishDate | 2010 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-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 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 |
| 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 |
| 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 |
| topic | HB Economic Theory HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/7316/ http://ir.unimas.my/id/eprint/7316/ http://ir.unimas.my/id/eprint/7316/ http://ir.unimas.my/id/eprint/7316/1/Hedge%20funds%2C%20exchange%20rates%20and%20causality%20evidence%20from%20Thailand%20and%20Malaysia.pdf |