Journal of Banking & Finance · Vol.62,JANUARY2017

安全投資轉移、貨币與股票收益的相關性

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：我們發現，資本流入、流出新興市場或發達市場對全球股票市場狀況敏感。當全球股票市場處于下跌狀态時，資本傾向于從新興國家中退出，進入發達國家，進而導緻新興（發達）國家貨币貶值（升值）。這将在新興（發達）市場的貨币和股本之間産生正（負）相關性，該相關性會被資本流動的規模放大。我們還驗證了外彙風險對沖可能抵消自然對沖，在這一負相關的情況下，外彙風險對沖将增加總收益的波動率。

關鍵詞：安全投資轉移，資本流動，貨币與股票收益的相關性，外彙對沖

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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0378426614003033

翻譯：賈夢悅