Hedge Funds and the Asian Currency Crisis of 1997

We test the hypothesis that hedge funds were responsible for the crash in the Asian currencies in late 1997. To do so, we develop estimates of the changing positions of the largest ten currency funds in one currency, the Malaysian ringgit and to a basket of Asian currencies. Our methodology is adapted from the Sharpe?s (1992) style analysis approach that decomposes fund returns. We find that the net long or short positions in the ringgit or its correl

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Year of publication:	1998-02-01
Authors:	Brown, Stephen ; Goetzmann, William ; Park, James
Institutions:	School of Management, Yale University

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Extent:	application/pdf
Series:	Yale School of Management Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005587102