Earticle

초록

영어

This paper studies the issues related to finite-period overseas investment, foreign exchange rate, and currency hedging by foreign exchange forward contract. It is demonstrated that foreign exchange rate should be as important as foreign asset as far as overseas investment decision is concerned and that the decision ought to be made by considering the two factors conjunctionally, rather than separately. In contrast to a common perception, foreign exchange forward is inadequate to deal with currency hedging in many actual situations, due to its notional mismatch, costly forward point, and implicit leverage in it. It is shown that correlation coefficient between financial variables like foreign asset and foreign exchange rate can be insufficient and even misleading in describing the eventual association between them thus a new empirical statistic is proposed to supplement correlation. Empirical results are presented for the equity market investment into three developed and four emerging market countries from Korean and the US investors’ standpoints.

목차

Abstract
 I. Introduction
 II. Formulation
  1. Investment in assets denominated in foreign currency
  2. Hedging and Forward Contract
 III. Correlation, Co-movement, and Co-drift
  1. Correlation and its degeneracy
  2. Co-movement and Co-drift
 IV. Empirical Results
  1. Investment from Korea
  2. Investment from the US
 V. Conclusion
 References
 Table
 Figure

키워드

저자

• Ohsang Kwon [ Adjunct Professor, Graduate School of Innovation and Technology Management, Korea Advanced Institute of Science and Technology, and Director, Deutsche Bank AG Seoul ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330