國際投資學(xué)第一章

國際投資學(xué)（雙語）徐欣xucynthia@國際投資學(xué)（雙語）參考教材：國際投資（第六版）（經(jīng)濟學(xué)經(jīng)典教材·金融系列；高等學(xué)校經(jīng)濟類雙語教學(xué)推薦教材）,2010年，人民大學(xué)出版社國際投資學(xué)（第三版）任淮秀主編

國際投資學(xué)(第4版）楊大楷主編上海財經(jīng)大學(xué)出版社有限公司最終成績:1.期末考試：60％2.平時成績：40％2TextOutline Chapters1-3setoutthefoundationofexchangerates.Chapters4-8explorethevariousassetsavailableforinternationalinvesting.Chapters9-13developthetechniquesandperspectiveofglobalinvestmentandportfoliomanagement.31Chapter1ForeignExchange2Chapter2ForeignExchangeParityRelations.3Chapter3ForeignExchangeDeterminationandForecasting4Chapter4InternationalAssetPricing5Chapter5Equity:MarketsandInstruments6Chapter6Equity:ConceptsandTechniques7Chapter7GlobalBondInvesting8Chapter8AlternativeInvestments9Review10Chapter9TheCaseforInternationalDiversification11Chapter10Derivatives12Chapter11CurrencyRiskManagement13Chapter12GlobalPerformanceEvaluation14Chapter13StructuringtheGlobalInvestmentProcessPart1exchangeratesPart2assetsPart3techniquesandperspectiveofglobalinvestment4Chapter1CurrencyExchangeRates6ChapterOne-Outline Inthischapterwecover:currencyexchangeratequotations(directandindirect;spotandforward)cross-ratecalculationsnatureofbid-askquotesandspreadscalculationofforwardpremiums/discountsonexchangerates.coveredinterestrateparitycoveredinterestarbitrage7CurrencyAbbreviationsAbbreviationsareusedtorefertothevariouscurrencies.Theseabbreviationscouldbecommonlyusedsymbolsor“official”three-lettercodes.FinancialnewspaperssuchastheFinancialTimesgenerallyusesymbols,whiletradersusethree-lettercodes.Symbolsinclude$(U.S.dollar),￥(Japaneseyen),€(euro),￡(Britishpound),A$(Australiandollar),andSfr(Swissfranc).8Three-lettercodesforthesamecurrenciesareUSD,JPY,EUR,GBP,AUD,andCHF.Wewillalternativelyuseinthisbook(asdoneintherealworld)thevariouscurrencyabbreviationsthatarecommonlyencountered.Forexample,theJapaneseyencanbereferredtoas￥,JPY,oryen.9CurrencyExchangeRateQuotationsAcurrencyexchangerateistherateusedtoexchangetwocurrencies.Anexchangeratestatesthepriceofonecurrencyintermsofunitsofanothercurrency.Examples:$:€,€:$,￥:$Note:thenotationinthisneweditionofthetexthaschangedrelativetopreviouseditions.10QuoteConventionusedinthistextAllquotesinthistextwillbepresentedas a:b=SwhereaisthequotedcurrencybisthecurrencyinwhichthepriceisexpressedSisthepriceofthequotedcurrencyainunitsofcurrencybForexample,$:￥=130meanstheU.S.dollarisquotedat130Japaneseyen(￥)perdollar.OrtheU.S.dollarispricedat130yen.11DirectExchangeQuotesAdirectexchangerateisthedomesticpriceofforeigncurrency.Forexample,anAmericaninvestorseeingadirectquote€:$=1.34knowsshewillpay$1.34foroneeuro.ToaEuropeaninvestor,thedirectquoteis$:€=0.74627whichsaysthat1dollar(foreigncurrency)isworth0.74627euro.Anappreciationoftheforeigncurrencycausesanincreaseinthedirectquote.12IndirectForeignExchangeQuotationsAnindirectexchangerateistheamountofforeigncurrencythatoneunitofdomesticcurrencywillpurchase.ForanAmericaninvestor,theindirectquote$:€=0.74627saysthat1dollarwillpurchase0.74627euro.Directquotesandindirectquotesarereciprocalsofeachother.Anappreciationoftheforeigncurrencycausesadecreaseintheindirectquote.13Example:DirectandIndirectExchangeRatesOnJuly1,theBritishpound(￡)isquotedas￡:$=1.80.IsthisadirectorindirectquotefromtheviewpointofanAmericanandaBritishinvestor?Amonthlater,theexchangeratemovedto￡:$=1.90.Whichcurrenciesappreciatedordepreciated?14Example:DirectandIndirectExchangeRates-ContinuedAnswer:Thepoundisquotedintermsofdollars.ThisquoteisadirectquotefromtheAmericanviewpointandanindirectquotefromtheBritishviewpoint.Thepoundisthequotedcurrency.Overamonth,thepound’spriceincreasedfrom$1.80to$1.90,sothepoundappreciatedandthedollardepreciated.15CurrencyMovementsandExchangeRateQuotations升值貶值16CrossRateCalculationsAcrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry’sexchangeratewithathirdcountry.Forexample,bankAgivesthefollowingquotations:€:$=1.3364$:￥=123.52Calculatetheeuro

in

yen(€:￥)rate:(€:$)

($:￥)=1.3364

123.52=165.07Theresultingquotationis:€:￥=165.07.Oneeuroisworth165.07yen.17CrossRateCalculations–Example2Forexample,bankBgivesthefollowingquotationsfortheKoreanwonandtheBrazilianreal:$:won=928.350$:R$=1.9094CalculatetheR$:wonrate:($:won)÷($:R$)=928.35/1.9094=486.20Theresultingquotationis:R$:won=486.20.OneBrazilianRealisworth486.50won.18ForeignExchangeMarketTheinternationalcurrencymarkethastwomaincomponents:AworldwideForexmarketbetweenmajorbanksandspecializedcurrencydealers.Thisisawholesaleinterbankmarketforlargetransactions.ItisanOTCmarket,bytelephoneandelectronictradingplatforms,wheretradingtakesplace24hoursaday,5daysaweek.Itisthelargestandmostliquidfinancialmarketintheworld.Aretailmarketwhereinvestorsandcorporationsdealwithlocalbanks.19ForexMarketConventions–1Thereisnoneedtoquotebothadirectanddirectrate,e.g.both$:€and€:$.Historymostlydictatestheexchangeratedirectionthatisselected:ThereisadecreasingorderofsenioritywiththeBritishpoundastheseniorcurrency.TheForexconventionistotradeBritishpoundsinunitsofothercurrencies,sothequoteshowingonForextradingscreensistheforeignexchangevalueofoneGBP,thatis,GBP:EUR,GBP:USD,orGBP:JPY.20ForexMarketConventions–1

(cont’d)Whentheeurowasintroducedin1999,itwasgiven“seniority”justbehinditsBritishneighbor.Thus,thequoteshowingonForextradingscreensistheforeignexchangevalueofoneeuro,EUR:USDorEUR:JPY.TheonlyexceptionistheBritishpoundwheretheGBP:EURisquoted.Finally,thedollarisquotedinunitsofallothercurrencies,forexample,USD:JPY.21ForexMarketConventions–2Notallexchangeratesaretraded.Inaworldwithalargenumberofcurrencies,thereareaverylargenumberofcrossexchangerates.Forexample,with20currencies,thereare380bilateralexchangerates.TheexchangeratesbetweentwominorcurrenciesarenottradedontheForexmarket.Onlythedollarexchangeratewitheachminorcurrencyisquoted.Hencetoachieveatransactionbetweentwominorcurrencies,oneneedstoperformtwotransactionsinvolvingthedollar(suchasbetweentheSouthKoreanwonandBrazilianreal–henceourpreviousexamplewithcross-rates).22ForexMarketConventions–2

(cont’d)Theobviousmotivationforthisruleisliquidity.Atagiventime,therearefewtransactionsbetweentwominorcurrencies,soitismoreefficienttogroupalltransactionsagainstonemajorcurrency,theU.S.dollar.23ForexMarketConventions–3IntheForexmarket,quotationsontradingscreensaregenerallygivenwithfivesignificantdigitsandthree-lettercodes.Forexample,theUSD:JPYquotecouldappearas120.10andtheEUR:USDas1.2515.Marketmakersquotebothabidandanaskprice,andthereisnoadditionalfeeorcommission.24Bid-AskQuotesBidprice:theexchangerateatwhichthedealeriswillingtobuythequotedcurrencyinexchangeforthesecondcurrency.Ask(offer)price:theexchangerateatwhichthedealeriswillingtosellthequotedcurrencyinexchangeforthesecondcurrency.Thedifferencebetweenthebidandaskpriceiscalledthespread.Midpointprice=(ask+bid)/225Bid-AskQuotes-ExampleConsiderthefollowingcurrencyquoteintheUnitedStates:

$:€=0.9838–0.9841Thebidpriceis$:€0.9838Theaskpriceis$:€0.9841Themidpointpriceis$:€0.9839526AdditionalterminologyApipstandsfor“priceinterestpoint”andrepresentsthesmallestpricefluctuationinthecurrencyprice.Itisequivalenttothe“tick”onstockmarkets.E.g.€:$=1.3015–1.3019.Thespreadequals4pips.27Bid-AskSpreadDifferencebetweenbidandaskprice.Canalsobecalculatedasapercentage: Bid-askspread=100*(ask–bid)/askSizeofbid-askspreadincreaseswithexchangerateuncertainty(volatility)andlackofliquiditybecauseofthebank/dealerriskaversion風(fēng)險厭惡.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).28TwoPrinciplesforbidandaskratesThea:baskexchangerateisthereciprocal倒數(shù)oftheb:abidexchangerate.Thea:bbidexchangerateisthereciprocaloftheb:aaskexchangerate.Example:

the$:￥quoteof$:￥=150.51–152.52isequivalenttoa￥:$quoteof:￥:$=0.00655–0.0066429

在很久以前墨西哥與美國的某段邊境處，存在著一種特殊的貨幣兌換情形：即在墨西哥境內(nèi)，1美元只值墨西哥貨幣90分，而在美國境內(nèi)，1個墨西哥比索(100分)只值美國貨幣90分。一天一個牧童先在一家墨西哥酒吧喝了一杯啤酒，價格是10個墨西哥分,于是他用余下的90個墨西哥分換了1美元，然后又走過邊境進了一家美國酒吧，喝了一杯啤酒，價格是10美分，他用余下的90美分又換成1個墨西哥比索。如此這般，牧童每天愉快地喝著啤酒，而口袋里的1比索卻始終沒有減少。這到底是為什么呢？原來牧童一直在用兩地套匯的收益喝啤酒1美元=墨西哥比索0.91美元=墨西哥比索1.130Arbitrage套算匯率Arbitrageinvolvesthesimultaneouspurchaseofanundervaluedassetorportfolioandsaleofanovervaluedbutequivalentassetorportfolio組合,inordertoobtain獲得ariskfree

profitonthepricedifferential.套匯是指利用不同外匯市場的外匯差價，在某一外匯市場上買進某種貨幣，同時在另一外匯市場上賣出該種貨幣，以賺取利潤。Arbitragekeepsexchangeratesinlinewitheachotherandwithriskfreeinterestrates.Forexample,the$:€ratemustbethesame,atagiveninstant,inFrankfurt,ParisandNewYork.31ArbitrageConditionswithExchangeRatesAnarbitragecouldbecreatedifitwereprofitabletobuyfromonebankandselltoanotherbank.Whendescribingarbitrage,weareusuallydiscussingarisklesstransactionthatdoesnotrequireanyinvestedcapital.32ArbitrageExampleConsiderthefollowingthreebankseachprovidinga$:￥quote:BankA

BankB

BankC122.25-35122.40-45 122.25-45Doesanarbitrageopportunityexist?

OnecouldbuydollarsfromBankAfor122.35yenperdollarandsimultaneouslysellthemtoBankBfor122.40yenperdollar.Asmallgain,butitisrisklessanddoesnotrequireanyinvestedcapital.33地點套匯套匯者利用同一時刻不同外匯市場的匯率差異，通過買賣某種外匯而賺取利潤的行為。精髓：低買高賣（賤買貴賣）34直接套匯（兩個市場）同一時刻HK：USD1＝HKD7.7807/10NY：USD1＝HKD7.7500/07則在紐約7.7507港幣買入1美元，同時在香港又以1美元買入7.7807港幣，套匯者每買賣1美元，獲利0.03港幣。35間接套匯

也稱多地套匯，是利用同一時刻三個或三個以上外匯市場的匯率差異買賣外匯以賺取利潤的行為。36蘇黎世：USD1＝CHF5(ａ)紐約：GBP1＝USD2(ｂ)倫敦：GBP1＝CHF8(ｃ)假設(shè)你手中有GBP10萬由(ａ)、(ｂ)得瑞士法郎和英鎊的交叉匯率為GBP1＝CHF10(d)解：比較(ｃ)和(d)可知，英鎊的價格在紐約市場較高

所以，應(yīng)GBP100000×2×5÷8＝125000英鎊盈利：25000英鎊USDCHFGBPGBPUSDCHFGBPGBPCHFUSDGBP37第一步：判斷是否存在匯率差異判斷步驟為：統(tǒng)一標價法，匯率連乘，只要乘積不為1，就有套匯機會

蘇黎世：USD1＝CHF5

紐約：GBP1＝USD2

倫敦：CHF1＝GBP1/85×2÷8＝1.25≠1且＞1因此，存在匯率差異，有套匯機會第二步：選擇線路若連乘乘積大于1，從等式左邊找，你手中有哪種貨幣就從有這種貨幣的市場做起若連乘乘積小于1，從等式右邊找，你手中有哪種貨幣就從有這種貨幣的市場做起蘇黎世：USD1＝CHF5紐約：GBP1＝USD2倫敦：GBP1＝CHF8

所以，應(yīng)GBPUSDCHFGBP直接直接間接38紐約USD1＝CHF1.6150/60(ａ)蘇黎士GBP1＝CHF2.4050/60(ｂ)倫敦GBP1＝USD1.5310/20(ｃ)假設(shè)你手中有GBP100萬由(ａ)、(ｂ)得交叉匯率為GBP1＝USD解：比較(ｃ)和(d)可知，英鎊的價格在倫敦市場較高1000000×1.5310＝1027666英鎊盈利：27666英鎊2.40501.61602.40601.6150

即GBP1＝USD1.4882/1.4898(d)÷2.4060×1.6150/

所以，應(yīng)GBPUSDCHFGBP39第一步：判斷是否存在匯率差異紐約USD1＝CHF1.6150/60蘇黎士CHF1＝GBP/倫敦GBP1＝USD1.5310/2012.406012.40501.6150÷2.4060×1.5310＝1.02≠1且＞1第二步：選擇線路紐約USD1＝CHF1.6150/60蘇黎士GBP1＝CHF2.4050/60倫敦GBP1＝USD1.5310/20假設(shè)你手中有GBP100萬應(yīng)GBPUSDCHFGBP間接直接間接從等式左邊找40練習(xí)：紐約GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14倫敦GBP1＝HKD11.0723/33假設(shè)你手中有HKD100萬41由(a)、(ｃ)得交叉匯率為USD1＝HKD解：比較(b)和(d)可知，港幣的價格在香港市場較高1000000÷7.7814＝1000998港幣盈利：998港幣11.07231.421511.07331.4205

即USD1＝HKD7.7892/7.7954(d)×11.0723÷1.4215/

所以，應(yīng)HKDUSDGBPHKD紐約GBP1＝USD1.4205/15（ａ）香港USD1＝HKD7.7804/14（ｂ）倫敦GBP1＝HKD11.0723/33（ｃ）假設(shè)你手中有HKD100萬由(ａ)、(ｂ)得交叉匯率為GBP1＝HKD1.4205×7.7804/1.4215×7.7814

比較(ｃ)和(d)可知，港幣的價格在香港市場較高

即GBP1＝HKD11.0521/11.0613(d)

所以，應(yīng)HKDUSDGBPHKD42解：紐約GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14倫敦GBP1＝HKD11.0723/33

假設(shè)你手中有HKD100萬第一步：判斷是否存在匯率差異紐約GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14倫敦HKD1＝GBP/

直接直接間接111.0733111.07231.4205×7.7804÷11.0733＝0.998≠1且＜1因此，存在匯率差異，有套匯機會第二步：選擇線路從等式右邊找

所以，應(yīng)HKDUSDGBPHKD43Twotypesofarbitrageopportunitiestoconsider...Withrespecttotheexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwith一致，整齊thebid-askspreadintheother.Ifnot,abilateralarbitrageopportunityexists.Atriangulararbitrage三角匯率

opportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.44TriangularArbitrageTriangulararbitrageinvolvesthreesteps:Pickthecross-ratecurrency交叉匯率Determinewhetherthecross-ratebid-askquotesareinlinewiththedirectquotesbydeterminingwhetheritischeapertobuyforeigncurrencydirectlyorindirectly.Iftheactualcross-ratequoteisnotinlinewiththequotedcross-ratequotes,anarbitrageopportunityexists.45ForwardRatesSpotratesarequotedforimmediatecurrencytransactions(althoughinpracticedeliverytakesplace48hourslater).Forwardexchangeratesarecontractedtodaybutwithdeliveryandsettlementinthefuture.Inaforward,orfutures,contractacommitmentisirrevocably不能取消地madeonthetransactiondate,butdeliverytakesplacelater,onadatesetinthecontract.46ForwardPremiums升水/Discounts貼水Forwardexchangeratesareoftenquoted

asapremium,ordiscount,tothespotexchangerate.Whenatraderannouncesthatacurrencyquotesatapremium,thepremiumshouldbeaddedtothespotexchangeratetoobtainthevalueoftheforwardexchangerate.Ifacurrencyquotesatadiscount,thediscountshouldbesubtractedfromthespotexchangeratetoobtainvalueoftheforwardexchangerate.47ForwardPremiums/DiscountsGivenanexchangerateofa:b,theannualized年化的forwardpremiumonthequotedcurrencyaequals:48ForwardPremiums/Discounts-ExampleIfthe3monthforwardexchangerateis€:$=1.23778andthespotrateis€:$=1.2500,calculatetheforwardpremium/discount.Solution:

49Interestrateparity利率平價（Interestrateparity）也稱作利息率平價，指所有可自由兌換貨幣的預(yù)期回報率相等時外匯市場所達到的均衡條件。利率平價規(guī)定，一種貨幣對另一種貨幣的升值（貶值），必將被利率差異的變動所抵銷。50Interestrateparity利率平價聯(lián)系著即期匯率、遠期匯率和利率。遠期匯率*1+被標價匯率無風(fēng)險利率=

即期匯率*1+標價貨幣額無風(fēng)險利率（遠期貼水/升水等于兩種貨幣之間的折現(xiàn)率差）這種關(guān)系受套利驅(qū)使。51ExampleAssumethatthefollowingdataexistforthe$and€currencies:Spotexchangerate$/€=0.8One-yearforward$/€=0.808exchangerateOne-yearinterestratesr€=14%r$=10%52Exhibit1.1:CurrencySpeculation投機53Exhibit1.2:CoveredInterestRateArbitrage54InterestRateParityTheinterestrateparityrelationshipisthattheforwarddiscount(premium)equalstheinterestratedifferentialbetweenthetwocurrencies.Fortwocurrencies,AandB,withtheexchangeratequotedasthenumberofunitsofBforoneunitofA,

55CoveredInterestRateArbitrageTheprocessofsimultaneouslyborrowingthedomesticcurrency,transferringitintoforeigncurrencyatthespotexchangerate,lendingit,andbuyingaforwardexchangeratecontracttorepatriatetheforeigncurrencyintodomesticcurrencyataknownforwardexchangerate.Thenetresultofsuchanarbitrageshouldbenil.56InterestRateParityExampleSpotrate=1.6400$per

￡90dayForwardrate=1.6236$

per

￡U.S.riskfreerate=1.15%UKriskfreerate=3.75%Annualizedforwardpremium=–4.0%Interestrateparityisviolated.Dollarisstronger,poundweakerBorrowBritishpounds(￡),transferatSpotrateindollars($),investindollars($),buy￡forward.57ForwardQuotationswithBid-AskSpreads–Example遠期貼水和利率差OntheForexmarket,younoticethefollowingquotes:Spot:$:￥=105.00–105.50Oneyearinterestrate($):3?–4%Oneyearinterestrate(￥):?-1%

Whatshouldbethequotefortheoneyearforwardexchangerate$:￥?58ForwardQuotationswithBid-AskSpreads–ExampleSolution:Thus,theforwardquotationis$:￥:107.60–109.17459Exercises—QuestionsandProblems1. YounoticedthattheexchangeratebetweentheKoreanwonandtheU.S.dollarhaschangedconsiderably.Thewon/dollarexchangeratehasmovedfrom800wonperdollarto1000wonperdollar.a. HastheKoreanwonappreciatedordepreciatedwithrespecttothedollar?Bywhatpercentage?b. Bywhatpercentagehasthevalueofthedollarchangedwithrespecttothewon?60=-20%.Solution：Onewonwasworth1/800or0.00125dollarsearlier.Itisworth1/1000or0.001dollarsnow.Thus,thewonhasdepreciatedwithrespecttothedollar.Percentagechangeinthedollarvalue

ofthewon

b. Onedollarwasworth800wonearlierandisworth1000wonnow.Percentagechangeinthevalueofthedollar=25.0%.612.Youvisittheforeignexchangetradingroomofamajorbank.Atraderasksforquotationso