Earticle

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

Abstract
 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
 Figure

저자

• Jin-Wan Cho [ Korea University Business School ]
• Joung Hwa Choi [ Seoul National University Business School ]
• Taeyong Kim [ Morningstar Associates Korea 4F Dabo Bldg. ]
• Woojin Kim [ Seoul National University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330