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


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


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.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1080/13504850701748883
Publisher: Routledge
Keywords: Hedge funds; Exchange rates; Thailand; Malaysia
Depositing User: Nabilah Mustapa
Date Deposited: 08 May 2019 07:45
Last Modified: 08 May 2019 07:45
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/13504850701748883
URI: http://psasir.upm.edu.my/id/eprint/14990
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