Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7365318 | Journal of International Money and Finance | 2018 | 16 Pages |
Abstract
Not all international capital flows influence exchange rates equally. Capital flows induced by foreign investors' transactions in local stock markets have an impact on exchange rates that is economically significant and permanent, whereas capital flows induced by investors' transactions in local government bond markets do not. The differences in price impacts are related to differences in the amounts of private information conveyed by these flows. Our findings are based on daily-frequency data on all transactions undertaken by foreign investors in the stock, bond, and onshore FX markets of Thailand over a period of nearly two years.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jacob Gyntelberg, Mico Loretan, Tientip Subhanij,