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...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Körperschaft: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/214. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Aug. 31, 2012). "Institute for Capacity Development." "September 2012." |
| Beschreibung: | 1 online resource (19 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781475539899 1475539894 9781475505641 1475505647 9781475551051 1475551053 |
Internformat
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| 500 | |a Title from PDF title page (IMF Web site, viewed Aug. 31, 2012). | ||
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Institute for Capacity Development." | ||
| 500 | |a "September 2012." | ||
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| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
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| author | Gyntelberg, Jacob Loretan, Mico Tientip Subhanij |
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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. 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. |
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| series2 | IMF working paper ; |
| spelling | Gyntelberg, Jacob, author. http://id.loc.gov/authorities/names/n2008069009 Exchange rate fluctuations and international portfolio rebalancing in Thailand / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (19 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/12/214 Title from PDF title page (IMF Web site, viewed Aug. 31, 2012). 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. Includes bibliographical references. "Institute for Capacity Development." "September 2012." Print version record. 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. Foreign exchange Thailand. Capital movements Thailand. Portfolio management Thailand. Change Thaïlande. Mouvements de capitaux Thaïlande. Gestion de portefeuille Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange fast Portfolio management fast Thailand fast https://id.oclc.org/worldcat/entity/E39PBJcKHdfFMJFcHGFbMGMgKd Loretan, Mico, author. http://id.loc.gov/authorities/names/n2007051209 Tientip Subhanij, author. http://id.loc.gov/authorities/names/n2010160473 International Monetary Fund. Institute for Capacity Development. http://id.loc.gov/authorities/names/no2012075144 IMF working paper ; WP/12/214. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568150 Volltext |
| spellingShingle | Gyntelberg, Jacob Loretan, Mico Tientip Subhanij Exchange rate fluctuations and international portfolio rebalancing in Thailand / IMF working paper ; 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. Foreign exchange Thailand. Capital movements Thailand. Portfolio management Thailand. Change Thaïlande. Mouvements de capitaux Thaïlande. Gestion de portefeuille Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange fast Portfolio management fast |
| title | Exchange rate fluctuations and international portfolio rebalancing in Thailand / |
| title_auth | Exchange rate fluctuations and international portfolio rebalancing in Thailand / |
| title_exact_search | Exchange rate fluctuations and international portfolio rebalancing in Thailand / |
| title_full | Exchange rate fluctuations and international portfolio rebalancing in Thailand / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
| title_fullStr | Exchange rate fluctuations and international portfolio rebalancing in Thailand / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
| title_full_unstemmed | Exchange rate fluctuations and international portfolio rebalancing in Thailand / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
| title_short | Exchange rate fluctuations and international portfolio rebalancing in Thailand / |
| title_sort | exchange rate fluctuations and international portfolio rebalancing in thailand |
| topic | Foreign exchange Thailand. Capital movements Thailand. Portfolio management Thailand. Change Thaïlande. Mouvements de capitaux Thaïlande. Gestion de portefeuille Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange fast Portfolio management fast |
| topic_facet | Foreign exchange Thailand. Capital movements Thailand. Portfolio management Thailand. Change Thaïlande. Mouvements de capitaux Thaïlande. Gestion de portefeuille Thaïlande. BUSINESS & ECONOMICS Finance. Capital movements Foreign exchange Portfolio management Thailand |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568150 |
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