Hedge funds, exchange rates and causality

Evidence from Thailand and Malaysia

W. N W Azman-Saini, Evan Lau, Zulkefly Abdul Karim

Research output: Contribution to journalArticle

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.

Original languageEnglish
Pages (from-to)393-397
Number of pages5
JournalApplied Economics Letters
Volume17
Issue number4
DOIs
Publication statusPublished - Mar 2010

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Exchange rates
Thailand
Causality
Hedge funds
Malaysia
Empirical evidence
Granger non-causality

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Hedge funds, exchange rates and causality : Evidence from Thailand and Malaysia. / Azman-Saini, W. N W; Lau, Evan; Abdul Karim, Zulkefly.

In: Applied Economics Letters, Vol. 17, No. 4, 03.2010, p. 393-397.

Research output: Contribution to journalArticle

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