Journal of Banking & Finance · Vol.62,JANUARY2017

安全投资转移、货币与股票收益的相关性

作者：Jin-Wan Cho (International Arbitration and Alliance Group), Joung Hwa Choi (Seoul National University), Taeyong Kim (Morningstar Associates Korea), Woojin Kim (Seoul National University Business School)

摘要：我们发现，资本流入、流出新兴市场或发达市场对全球股票市场状况敏感。当全球股票市场处于下跌状态时，资本倾向于从新兴国家中退出，进入发达国家，进而导致新兴（发达）国家货币贬值（升值）。这将在新兴（发达）市场的货币和股本之间产生正（负）相关性，该相关性会被资本流动的规模放大。我们还验证了外汇风险对冲可能抵消自然对冲，在这一负相关的情况下，外汇风险对冲将增加总收益的波动率。

关键词：安全投资转移，资本流动，货币与股票收益的相关性，外汇对冲

Flight-to-quality and correlation between currency and stock returns

Jin-Wan Cho (International Arbitration and Alliance Group), Joung Hwa Choi (Seoul National University), Taeyong Kim (Morningstar Associates Korea), Woojin Kim (Seoul National University Business School)

ABSTRACT

We document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions. Capital tends to move out of emerging into developed countries in global down markets, leading to depreciation (appreciation) of emerging (developed) currencies. This generates a positive (negative) correlation between currency and equity in emerging (developed) markets which is amplified by the magnitude of the capital movement. We also verify that hedging currency risks may undo the natural hedge and increase the total return volatility under negative correlation.

Keywords: Flight-to-quality, Capital flows, Correlation between currency and stock returns, Currency hedging

原文链接：http://www.sciencedirect.com/science/article/pii/S0378426614003033

翻译：贾梦悦