| Description |
1 online resource (19 pages) |
| Series |
IMF working paper ; WP/12/214 |
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IMF working paper ; WP/12/214.
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| Contents |
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 |
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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 |
| Summary |
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. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these investors and a depreciation of the Thai baht. Net purchases of Thai equities lead to an appreciation of the Thai baht. Foreign investors do not appear to hedge the foreign exchange risk related to their stock market positions |
| Notes |
Title from PDF title page (IMF Web site, viewed Aug. 31, 2012) |
| Bibliography |
Includes bibliographical references |
| Notes |
"Institute for Capacity Development." |
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"September 2012." |
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Print version record |
| Subject |
Foreign exchange -- Thailand
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Capital movements -- Thailand
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Portfolio management -- Thailand
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BUSINESS & ECONOMICS -- Finance.
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Capital movements
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Foreign exchange
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Portfolio management
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Thailand
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| Form |
Electronic book
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| Author |
Loretan, Mico, author.
|
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Tientip Subhanij, author.
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International Monetary Fund. Institute for Capacity Development.
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| ISBN |
9781475539899 |
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1475539894 |
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9781475505641 |
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1475505647 |
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9781475551051 |
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1475551053 |
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