国际投资学第一章

国际投资学（双语）徐欣xucynthia@国际投资学（双语）参考教材：国际投资（第六版）（经济学经典教材·金融系列；高等学校经济类双语教学推荐教材）,2010年，人民大学出版社国际投资学（第三版）任淮秀主编

国际投资学(第4版）杨大楷主编上海财经大学出版社有限公司最终成绩:1.期末考试：60％2.平时成绩：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$1.90,sothepoundappreciatedandthedollardepreciated.15CurrencyMovementsandExchangeRateQuotations升值贬值16CrossRateCalculationsAcrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry’sexchangeratewithathirdcountry.Forexample,bankAgivesthefollowingquotations:€:$=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风险厌恶.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).28TwoPrinciplesforbidandaskratesThea:baskexchangerateisthereciprocal倒数oftheb:abidexchangerate.Thea:bbidexchangerateisthereciprocaloftheb:aaskexchangerate.Example:

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

在很久以前墨西哥与美国的某段边境处，存在着一种特殊的货币兑换情形：即在墨西哥境内，1美元只值墨西哥货币90分，而在美国境内，1个墨西哥比索(100分)只值美国货币90分。一天一个牧童先在一家墨西哥酒吧喝了一杯啤酒，价格是10个墨西哥分,于是他用余下的90个墨西哥分换了1美元，然后又走过边境进了一家美国酒吧，喝了一杯啤酒，价格是10美分，他用余下的90美分又换成1个墨西哥比索。如此这般，牧童每天愉快地喝着啤酒，而口袋里的1比索却始终没有减少。这到底是为什么呢？原来牧童一直在用两地套汇的收益喝啤酒1美元=墨西哥比索0.91美元=墨西哥比索1.130Arbitrage套算汇率Arbitrageinvolvesthesimultaneouspurchaseofanundervaluedassetorportfolioandsaleofanovervaluedbutequivalentassetorportfolio组合,inordertoobtain获得ariskfree

profitonthepricedifferential.套汇是指利用不同外汇市场的外汇差价，在某一外汇市场上买进某种货币，同时在另一外汇市场上卖出该种货币，以赚取利润。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地点套汇套汇者利用同一时刻不同外汇市场的汇率差异，通过买卖某种外汇而赚取利润的行为。精髓：低买高卖（贱买贵卖）34直接套汇（两个市场）同一时刻HK：USD1＝HKD7.7807/10NY：USD1＝HKD7.7500/07则在纽约7.7507港币买入1美元，同时在香港又以1美元买入7.7807港币，套汇者每买卖1美元，获利0.03港币。35间接套汇

也称多地套汇，是利用同一时刻三个或三个以上外汇市场的汇率差异买卖外汇以赚取利润的行为。36苏黎世：USD1＝CHF5(ａ)纽约：GBP1＝USD2(ｂ)伦敦：GBP1＝CHF8(ｃ)假设你手中有GBP10万由(ａ)、(ｂ)得瑞士法郎和英镑的交叉汇率为GBP1＝CHF10(d)解：比较(ｃ)和(d)可知，英镑的价格在纽约市场较高

所以，应GBP100000×2×5÷8＝125000英镑盈利：25000英镑USDCHFGBPGBPUSDCHFGBPGBPCHFUSDGBP37第一步：判断是否存在汇率差异判断步骤为：统一标价法，汇率连乘，只要乘积不为1，就有套汇机会

苏黎世：USD1＝CHF5

纽约：GBP1＝USD2

伦敦：CHF1＝GBP1/85×2÷8＝1.25≠1且＞1因此，存在汇率差异，有套汇机会第二步：选择线路若连乘乘积大于1，从等式左边找，你手中有哪种货币就从有这种货币的市场做起若连乘乘积小于1，从等式右边找，你手中有哪种货币就从有这种货币的市场做起苏黎世：USD1＝CHF5纽约：GBP1＝USD2伦敦：GBP1＝CHF8

所以，应GBPUSDCHFGBP直接直接间接38纽约USD1＝CHF1.6150/60(ａ)苏黎士GBP1＝CHF2.4050/60(ｂ)伦敦GBP1＝USD1.5310/20(ｃ)假设你手中有GBP100万由(ａ)、(ｂ)得交叉汇率为GBP1＝USD解：比较(ｃ)和(d)可知，英镑的价格在伦敦市场较高1000000×1.5310＝1027666英镑盈利：27666英镑2.40501.61602.40601.6150

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

所以，应GBPUSDCHFGBP39第一步：判断是否存在汇率差异纽约USD1＝CHF1.6150/60苏黎士CHF1＝GBP/伦敦GBP1＝USD1.5310/2012.406012.40501.6150÷2.4060×1.5310＝1.02≠1且＞1第二步：选择线路纽约USD1＝CHF1.6150/60苏黎士GBP1＝CHF2.4050/60伦敦GBP1＝USD1.5310/20假设你手中有GBP100万应GBPUSDCHFGBP间接直接间接从等式左边找40练习：纽约GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14伦敦GBP1＝HKD11.0723/33假设你手中有HKD100万41由(a)、(ｃ)得交叉汇率为USD1＝HKD解：比较(b)和(d)可知，港币的价格在香港市场较高1000000÷7.7814＝1000998港币盈利：998港币11.07231.421511.07331.4205

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

所以，应HKDUSDGBPHKD纽约GBP1＝USD1.4205/15（ａ）香港USD1＝HKD7.7804/14（ｂ）伦敦GBP1＝HKD11.0723/33（ｃ）假设你手中有HKD100万由(ａ)、(ｂ)得交叉汇率为GBP1＝HKD1.4205×7.7804/1.4215×7.7814

比较(ｃ)和(d)可知，港币的价格在香港市场较高

即GBP1＝HKD11.0521/11.0613(d)

所以，应HKDUSDGBPHKD42解：纽约GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14伦敦GBP1＝HKD11.0723/33

假设你手中有HKD100万第一步：判断是否存在汇率差异纽约GBP1＝USD1.4205/15香港USD1＝HKD7.7804/14伦敦HKD1＝GBP/

直接直接间接111.0733111.07231.4205×7.7804÷11.0733＝0.998≠1且＜1因此，存在汇率差异，有套汇机会第二步：选择线路从等式右边找

所以，应HKDUSDGBPHKD43Twotypesofarbitrageopportunitiestoconsider...Withrespecttotheexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwith一致，整齐thebid-askspreadintheother.Ifnot,abilateralarbitrageopportunityexists.Atriangulararbitrage三角汇率

opportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.44TriangularArbitrageTriangulararbitrageinvolvesthreesteps:Pickthecross-ratecurrency交叉汇率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贴水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利率平价（Interestrateparity）也称作利息率平价，指所有可自由兑换货币的预期回报率相等时外汇市场所达到的均衡条件。利率平价规定，一种货币对另一种货币的升值（贬值），必将被利率差异的变动所抵销。50Interestrateparity利率平价联系着即期汇率、远期汇率和利率。远期汇率*1+被标价汇率无风险利率=

即期汇率*1+标价货币额无风险利率（远期贴水/升水等于两种货币之间的折现率差）这种关系受套利驱使。51ExampleAssumethatthefollowingdataexistforthe$and€currencies:Spotexchangerate$/€=0.8One-yearforward$/€=0.808exchangerateOne-yearinterestratesr€=14%r$=10%52Exhibit1.1:CurrencySpeculation投机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远期贴水和利率差OntheForexmarket,younoticethefollowingquotes:Spot:$:¥=105.00–105.50Oneyearinterestrate($):3½–4%Oneyearinterestrate(¥):½-1%

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