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Exchange rate fluctuations and international portfolio rebalancing in Thailand /
We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/214. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Contents; I. Introduction; II. Portfolio Rebalancing; III. The Markets and the Data; A. Sample Period and Definition of Nonresident Investors; B. The Onshore FX Market; Tables; 1. Transactions of nonresident customers in the onshore FX market of Thailand; Figure; 1. Thai baht/U.S. dollar exchange rate and SET index in 2005 and 2006; C. The Equity Market; IV. Empirical Findings; 2. Transactions by nonresident customers on the Stock Exchange of Thailand; 3. List of variables used in the regression models; A. Imperfect Hedging.
- 4. Dependence of FX swap order flow on stock market returns and order flowB. Portfolio Rebalancing and the Exchange Rate; 5. Dependence of FX returns on own-market order flow, stock market order flow, and proxies for macroeconomic conditions; 6. Dependence of investors' order flow in the stock market on FX returns, SET returns, and relative performance of the SET index versus the S & P500 index; V. Concluding Remarks; References.