International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; Chan, Eric

doi:10.2139/ssrn.1462706

Cited by 13 publications

(8 citation statements)

References 17 publications

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“…For a classic survey on home bias seeLewis (1999).14 We are evidently not claiming that our model is the only possible explanation for the home bias. It is also out of the scope of this paper to provide a quantitative assessment of the home bias due to exchange rate risk.15 This correlation structure of stock prices and exchange rates, called "uncovered equity parity condition"(Hau and Rey (2006)), has also been examined byBrooks, Edison, Kumar and Slok (2001),Krylova, Cappiello and Santis (2005),Chaban (2008) Gyntelberg, Loretan, Subhanij and Chan (2009). provide evidence that foreign excess returns on Thai equity are followed by capital outflows of foreign investors which simultaneously depreciates the Thai bath.…”

mentioning

confidence: 98%

Global Portfolio Rebalancing Under the Microscope

Hau

Rey

2009

SSRN Journal

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mentioning

confidence: 98%

Global Portfolio Rebalancing Under the Microscope

Hau

Rey

2009

SSRN Journal

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“…This is indeed the case. Marsh and O'Rourke (2005) find such a result for major currencies, King, Sarno, and Sojli (2010), Bjønnes, Rime, and Solheim (2005), and Rime (2001) for small open economies, and Gyntelberg, Loretan, Subhanij, and Chan (2009), Onur (2008) and Wu (2007) for emerging markets.…”

Section: The Estimates Inmentioning

confidence: 91%

Micro Approaches to Foreign Exchange Determination

Evans

Rime

2012

Handbook of Exchange Rates

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“…Investigating high frequency data from emerging Thailand, Gyntelberg et al (2009) 2006. In line with the above studies, these authors find that equity market returns matter for net equity purchases, and vice versa; in addition, while currency returns tend to show little influence over foreign investors' demand for Asian equities, net equity purchases do have some explanatory power over near-term exchange rate changes.…”

Section: Exchange Rate Dynamics Capital Flows and Asset Pricesmentioning

confidence: 99%

Real financial market exchange rates and capital flows

Gelman

Jochem

Reitz

et al. 2015

Journal of International Money and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Title: Real Financial Market Exchange Rates and Capital FlowsAuthor: Maria Gelman, Axel Jochem, Stefan Reitz and Mark P. Taylor Abstract: Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a county's real effective financial exchange rate is co-integrated with international investors' net foreign holding of its assets. The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior. This paper provides new empirical evidence from an index of exchange-rate adjusted crosscountry asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a country's real effective financial exchange rate is cointegrated with international investors' net foreign holdings of its assets.The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior. This paper provides new empirical evidence from an index of exchange-rate adjusted crosscountry asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a country's real effective financial exchange rate is cointegrated with international investors' net foreign holdings of its assets.The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior.JEL: F31, G15, E58

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International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

Cited by 13 publications

References 17 publications

Global Portfolio Rebalancing Under the Microscope

Global Portfolio Rebalancing Under the Microscope

Micro Approaches to Foreign Exchange Determination

Real financial market exchange rates and capital flows

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