원문정보
초록
영어
Pair-wise analyses of a sample of nine developed and 12 emerging markets suggest that emerging country currency returns are positively correlated with their stock returns. These strong ties between currency and stock returns appear generated by international capital flows based on “flight-to-quality” in down-markets. The positive correlation of global equity markets implies that currencies provide added risks for investors in developed nations investing in emerging markets and natural hedges for investors in emerging nations investing in developed countries. Analyses of a unique sample of 27 “Siamese Twin” Korean international mutual fund pairs holding identical underlying foreign assets but offering different currency hedging alternatives suggest that hedging currency risks undoes the natural hedge and increases the total return volatility.
목차
1. Introduction
2. Literature review and hypothesis development
3. Data and variable construction
4. Pair-wise analyses of currency and stock markets
4.1. Correlations between international stock markets
4.2. Correlation between currency and domestic stock markets
4.3. Pair-wise analysis between the currency and stock markets
5. Capital flows and the correlation between currency and stock returns
5.1. Trends in market sizes and international capital flows
5.2. Global stock market conditions and movement of capital
5.3. Net capital flows and correlation between currency and stock returns
6. A case study: Shooting yourself in the foot by currency hedging
6.1. Institutional background
6.2. Effects of currency hedging on return volatility
7. Conclusion
References
Table
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