国际投资学第一章ebys.pptx

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1、Copyright2009PearsonPrenticeHall.Allrightsreserved.国际投资学国际投资学 （双语）（双语）徐欣徐欣 Copyright2009PearsonPrenticeHall.Allrightsreserved.国际投资学（双语）参考教材：参考教材：国际投资（第六版）（经济学经典教材国际投资（第六版）（经济学经典教材金融系列；高金融系列；高等学校经济类双语教学推荐教材）等学校经济类双语教学推荐教材）,2010年，人民大学年，人民大学出版社出版社国际投资学（第三版）任淮秀主编国际投资学（第三版）任淮秀主编国际投资学国际投资学(第第4版）杨大楷版）杨大楷 主

2、编主编 上海财经大学出版社有限公司上海财经大学出版社有限公司最终成绩最终成绩:1.期末考试：期末考试：602.平时成绩：平时成绩：402Copyright2009PearsonPrenticeHall.Allrightsreserved.TextOutlineChapters1-3setoutthefoundationofexchangerates.Chapters4-8explorethevariousassetsavailableforinternationalinvesting.Chapters9-13developthetechniquesandperspectiveofglobali

3、nvestmentandportfoliomanagement.31Chapter 1 Foreign Exchange2Chapter 2 Foreign Exchange Parity Relations.3Chapter 3 Foreign Exchange Determinationand Forecasting4Chapter 4 International Asset Pricing5Chapter 5 Equity:Markets and Instruments6Chapter 6 Equity:Concepts and Techniques7Chapter 7 Global B

4、ond Investing8Chapter 8 Alternative Investments9Review 10Chapter 9 The Case for International Diversification11Chapter 10 Derivatives12Chapter 11 Currency Risk Management13Chapter 12 Global Performance Evaluation14Chapter 13 Structuring the GlobalInvestment Process Part1exchangeratesPart2assetsPart3

5、techniquesandperspectiveofglobalinvestment4Copyright2009PearsonPrenticeHall.Allrightsreserved.Chapter 1CurrencyExchangeRatesCopyright2009PearsonPrenticeHall.Allrightsreserved.6Copyright2009PearsonPrenticeHall.Allrightsreserved.ChapterOne-OutlineInthischapterwecover:currencyexchangeratequotations(dir

6、ectandindirect;spotandforward)cross-ratecalculationsnatureofbid-askquotesandspreadscalculationofforwardpremiums/discountsonexchangerates.coveredinterestrateparitycoveredinterestarbitrage7Copyright2009PearsonPrenticeHall.Allrightsreserved.CurrencyAbbreviationsAbbreviationsareusedtorefertothevariouscu

7、rrencies.Theseabbreviationscouldbecommonlyusedsymbolsor“official”three-lettercodes.FinancialnewspaperssuchastheFinancial Times generallyusesymbols,whiletradersusethree-lettercodes.Symbolsinclude$(U.S.dollar),(Japaneseyen),(euro),(Britishpound),A$(Australiandollar),andSfr(Swissfranc).8Copyright2009Pe

8、arsonPrenticeHall.Allrightsreserved.Three-lettercodesforthesamecurrenciesareUSD,JPY,EUR,GBP,AUD,andCHF.Wewillalternativelyuseinthisbook(asdoneintherealworld)thevariouscurrencyabbreviationsthatarecommonlyencountered.Forexample,theJapaneseyencanbereferredtoas,JPY,oryen.9Copyright2009PearsonPrenticeHal

9、l.Allrightsreserved.CurrencyExchangeRateQuotationsAcurrencyexchangerateistherateusedtoexchangetwocurrencies.Anexchangeratestatesthepriceofonecurrencyintermsofunitsofanothercurrency.Examples:$:,:$,:$Note:thenotationinthisneweditionofthetexthaschangedrelativetopreviouseditions.10Copyright2009PearsonPr

10、enticeHall.Allrightsreserved.QuoteConventionusedinthistextAllquotesinthistextwillbepresentedasa:b=SwhereaisthequotedcurrencybisthecurrencyinwhichthepriceisexpressedSisthepriceofthequotedcurrencyainunitsofcurrencybForexample,$:=130meanstheU.S.dollarisquotedat130Japaneseyen()perdollar.OrtheU.S.dollari

11、spricedat130yen.11Copyright2009PearsonPrenticeHall.Allrightsreserved.DirectExchangeQuotesAdirectexchangerateisthedomesticpriceofforeigncurrency.Forexample,anAmericaninvestorseeingadirectquote:$=1.34knowsshewillpay$1.34foroneeuro.ToaEuropeaninvestor,thedirectquoteis$:=0.74627whichsaysthat1dollar(fore

12、igncurrency)isworth0.74627euro.Anappreciationoftheforeigncurrencycausesanincreaseinthedirectquote.12Copyright2009PearsonPrenticeHall.Allrightsreserved.IndirectForeignExchangeQuotationsAnindirectexchangerateistheamountofforeigncurrencythatoneunitofdomesticcurrencywillpurchase.ForanAmericaninvestor,th

13、eindirectquote$:=0.74627saysthat1dollarwillpurchase0.74627euro.Directquotesandindirectquotesarereciprocalsofeachother.Anappreciationoftheforeigncurrencycausesadecreaseintheindirectquote.13Copyright2009PearsonPrenticeHall.Allrightsreserved.Example:DirectandIndirectExchangeRatesOnJuly1,theBritishpound

14、()isquotedas:$=1.80.IsthisadirectorindirectquotefromtheviewpointofanAmericanandaBritishinvestor?Amonthlater,theexchangeratemovedto:$=1.90.Whichcurrenciesappreciatedordepreciated?14Copyright2009PearsonPrenticeHall.Allrightsreserved.Example:DirectandIndirectExchangeRates-ContinuedAnswer:Thepoundisquot

15、edintermsofdollars.ThisquoteisadirectquotefromtheAmericanviewpointandanindirectquotefromtheBritishviewpoint.Thepoundisthequotedcurrency.Overamonth,thepoundspriceincreasedfrom$1.80to$1.90,sothepoundappreciatedandthedollardepreciated.15Copyright2009PearsonPrenticeHall.Allrightsreserved.CurrencyMovemen

16、tsandExchangeRateQuotations升值升值贬值贬值16Copyright2009PearsonPrenticeHall.Allrightsreserved.CrossRateCalculationsAcrossrateistheexchangeratebetweentwocountriesinferredfromeachcountrysexchangeratewithathirdcountry.Forexample,bankAgivesthefollowingquotations:$=1.3364$:=123.52Calculatetheeuro in yen(:)rate

17、:(:$)($:)=1.3364 123.52=165.07Theresultingquotationis:=165.07.Oneeuroisworth165.07yen.17Copyright2009PearsonPrenticeHall.Allrightsreserved.CrossRateCalculationsExample2Forexample,bankBgivesthefollowingquotationsfortheKoreanwonandtheBrazilianreal:$:won=928.350$:R$=1.9094CalculatetheR$:wonrate:($:won)

18、($:R$)=928.35/1.9094=486.20Theresultingquotationis:R$:won=486.20.OneBrazilianRealisworth486.50won.18Copyright2009PearsonPrenticeHall.Allrightsreserved.ForeignExchangeMarketTheinternationalcurrencymarkethastwomaincomponents:Aworldwide Forexmarketbetweenmajorbanksandspecializedcurrencydealers.Thisisaw

19、holesaleinterbankmarketforlargetransactions.ItisanOTCmarket,bytelephoneandelectronictradingplatforms,wheretradingtakesplace24hoursaday,5daysaweek.Itisthelargestandmostliquidfinancialmarketintheworld.Aretailmarketwhereinvestorsandcorporationsdealwithlocalbanks.19Copyright2009PearsonPrenticeHall.Allri

20、ghtsreserved.ForexMarketConventions1Thereisnoneedtoquotebothadirectanddirectrate,e.g.both$:and:$.Historymostlydictatestheexchangeratedirectionthatisselected:ThereisadecreasingorderofsenioritywiththeBritishpoundastheseniorcurrency.TheForexconventionistotradeBritishpoundsinunitsofothercurrencies,sothe

21、quoteshowingonForextradingscreensistheforeignexchangevalueofone GBP,that is,GBP:EUR,GBP:USD,orGBP:JPY.20Copyright2009PearsonPrenticeHall.Allrightsreserved.ForexMarketConventions1(contd)Whentheeurowasintroducedin1999,itwasgiven“seniority”just behind its Britishneighbor.Thus,thequoteshowingonForextrad

22、ingscreensistheforeignexchangevalueofoneeuro,EUR:USDorEUR:JPY.Theonlyexception is the British pound where theGBP:EURisquoted.Finally,the dollar is quoted in units of allothercurrencies,forexample,USD:JPY.21Copyright2009PearsonPrenticeHall.Allrightsreserved.ForexMarketConventions2Not all exchange rat

23、es are traded.Inaworldwithalargenumberofcurrencies,thereareaverylargenumberofcrossexchangerates.Forexample,with20 currencies,there are 380 bilateral exchangerates.The exchange rates between two minorcurrenciesarenottradedontheForexmarket.Onlythedollarexchangeratewitheachminorcurrencyisquoted.Henceto

24、achieveatransactionbetweentwominorcurrencies,oneneedstoperformtwotransactionsinvolving the dollar(such as between the SouthKorean won and Brazilian real hence ourpreviousexamplewithcross-rates).22Copyright2009PearsonPrenticeHall.Allrightsreserved.ForexMarketConventions2(contd)Theobviousmotivationfor

25、thisruleisliquidity.At a given time,there are few transactionsbetween two minor currencies,so it is moreefficient to group all transactions against onemajorcurrency,theU.S.dollar.23Copyright2009PearsonPrenticeHall.Allrightsreserved.ForexMarketConventions3IntheForexmarket,quotationsontradingscreens a

26、re generally given with fivesignificantdigitsandthree-lettercodes.Forexample,theUSD:JPYquotecouldappearas120.10andtheEUR:USDas1.2515.Marketmakersquotebothabidandanaskprice,and there is no additional fee orcommission.24Copyright2009PearsonPrenticeHall.Allrightsreserved.Bid-AskQuotesBid price:theexcha

27、ngerateatwhichthedealeriswillingtobuythequotedcurrencyinexchangeforthesecondcurrency.Ask(offer)price:theexchangerateatwhichthedealeriswillingtosellthequotedcurrencyinexchangeforthesecondcurrency.Thedifferencebetweenthebidandaskpriceiscalledthespread.Midpoint price=(ask+bid)/225Copyright2009PearsonPr

28、enticeHall.Allrightsreserved.Bid-AskQuotes-ExampleConsiderthefollowingcurrencyquoteintheUnitedStates:$:=0.98380.9841Thebidpriceis$:0.9838Theaskpriceis$:0.9841Themidpointpriceis$:0.9839526Copyright2009PearsonPrenticeHall.Allrightsreserved.AdditionalterminologyApipstandsfor“price interest point”andrep

29、resentsthesmallestpricefluctuationinthecurrencyprice.Itisequivalenttothe“tick”onstockmarkets.E.g.:$=1.30151.3019.Thespreadequals4pips.27Copyright2009PearsonPrenticeHall.Allrightsreserved.Bid-AskSpreadDifferencebetweenbidandaskprice.Canalsobecalculatedasapercentage:Bid-askspread=100*(askbid)/askSizeo

30、fbid-askspreadincreaseswithexchangerateuncertainty(volatility)andlackofliquiditybecauseofthebank/dealerriskaversion风险厌恶.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).28Copyright2009PearsonPrenticeHall.Allrightsreserved.TwoPrinciplesforbidandaskratesThea:baskexchanger

31、ateisthereciprocal倒数oftheb:a bidexchangerate.Thea:bbidexchangerateisthereciprocaloftheb:aaskexchangerate.Example:the$:quoteof$:=150.51152.52isequivalenttoa:$quoteof:$=0.006550.0066429Copyright2009PearsonPrenticeHall.Allrightsreserved.在很久以前墨西哥与美国的某段边境处，存在着一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：即在种特殊的货币兑换情

32、形：即在墨西哥墨西哥境内，境内，1 1美元只值墨美元只值墨西哥货币西哥货币9090分，而在分，而在美国美国境内，境内，1 1个墨西哥比索个墨西哥比索(100(100分分)只值美国货币只值美国货币9090分。一天一个牧童先在一家墨西哥酒吧分。一天一个牧童先在一家墨西哥酒吧喝了一杯啤酒，价格是喝了一杯啤酒，价格是1010个墨西哥分个墨西哥分,于是他用余下的于是他用余下的9090个墨西哥分换了个墨西哥分换了1 1美元，然后又走过边境进了一家美国酒美元，然后又走过边境进了一家美国酒吧，喝了一杯啤酒，价格是吧，喝了一杯啤酒，价格是1010美分，他用余下的美分，他用余下的9090美分美分又换成又换成1 1

33、个墨西哥比索。如此这般，牧童每天愉快地喝着个墨西哥比索。如此这般，牧童每天愉快地喝着啤酒，而口袋里的啤酒，而口袋里的1 1比索却始终没有减少。这到底是为什比索却始终没有减少。这到底是为什么呢？么呢？原来牧童一直在用两地套汇的收益喝啤酒原来牧童一直在用两地套汇的收益喝啤酒1 1美元美元=墨西哥比索墨西哥比索0.90.91 1美元美元=墨西哥比索墨西哥比索1.11.130Copyright2009PearsonPrenticeHall.Allrightsreserved.Arbitrage套算汇率Arbitrageinvolvesthesimultaneouspurchaseofanunderva

34、luedassetorportfolioandsaleofanovervaluedbutequivalentassetorportfolio组合,inordertoobtain获得ariskfreeprofitonthepricedifferential.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,atagive

35、ninstant,inFrankfurt,ParisandNewYork.31Copyright2009PearsonPrenticeHall.Allrightsreserved.ArbitrageConditionswithExchangeRatesAnarbitragecouldbecreatedifitwereprofitabletobuyfromonebankandselltoanotherbank.Whendescribingarbitrage,weareusuallydiscussingarisklesstransactionthatdoesnotrequireanyinveste

36、dcapital.32Copyright2009PearsonPrenticeHall.Allrightsreserved.ArbitrageExampleConsiderthefollowingthreebankseachprovidinga$:quote:BankABankBBankC122.25-35122.40-45122.25-45Doesanarbitrageopportunityexist?OnecouldbuydollarsfromBankAfor122.35yenperdollarandsimultaneouslysellthemtoBankBfor122.40yenperd

37、ollar.Asmallgain,butitisrisklessanddoesnotrequireanyinvestedcapital.33Copyright2009PearsonPrenticeHall.Allrightsreserved.地点套汇地点套汇 套汇者利用同一时刻不同外汇市场的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率差异，通过买卖某种外汇而赚取利润的行为。行为。精髓：低买高卖（贱买贵卖）34Copyright2009PearsonPrenticeHall.Allrightsreserved.直接套汇（两个市场）直接套汇（两个市场）同一时刻同一时刻

38、 HK：USD1HKD7.7807/10 NY：USD1HKD7.7500/07则在纽约则在纽约7.75077.7507港币买入港币买入1 1美元，同时在香美元，同时在香港又以港又以1 1美元买入美元买入7.78077.7807港币，套汇者每买港币，套汇者每买卖卖1 1美元，获利美元，获利0.030.03港币。港币。35Copyright2009PearsonPrenticeHall.Allrightsreserved.间接套汇间接套汇 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：苏黎世：USD1USD1CHF5 (CHF5 ()纽约：纽约

39、：GBP1GBP1USD2 (USD2 ()伦敦：伦敦：GBP1GBP1CHF8 (CHF8 ()假设你手中有假设你手中有GBP10GBP10万万由由()、()得瑞士法郎和英镑的交叉汇率为得瑞士法郎和英镑的交叉汇率为GBP1GBP1CHF10 (d)CHF10 (d)解：解：比较比较()和和(d)(d)可知，可知，英镑的价格在纽约市场较高英镑的价格在纽约市场较高 所以，应所以，应GBPGBP100000210000025588 125000125000英镑英镑盈利：盈利：2500025000英镑英镑USDUSDCHFCHFGBPGBPGBPGBPUSDUSDCHFCHFGBPGBPGBPGBP

40、CHFCHFUSDUSDGBPGBP37第一步：判断是否存在汇率差异第一步：判断是否存在汇率差异判断步骤为：统一标价法判断步骤为：统一标价法 ，汇率连乘，只要乘积不为，汇率连乘，只要乘积不为1 1，就有套汇机会，就有套汇机会 苏黎世：苏黎世：USD1USD1CHF5CHF5 纽约：纽约：GBP1GBP1USD2USD2 伦敦：伦敦：CHF1CHF1GBP1/8GBP1/85285281.2511.251且且1 1因此，因此，存在汇率差异，有套汇机会存在汇率差异，有套汇机会第二步：选择线路第二步：选择线路若连乘乘积大于若连乘乘积大于1 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，

41、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若连乘乘积小于1 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，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：苏黎世：USD1USD1CHF5CHF5纽约：纽约：GBP1GBP1USD2USD2伦敦：伦敦：GBP1GBP1CHF8 CHF8 所以，应所以，应GBPGBPUSDUSDCHFCHFGBPGBP直接直接直接直接间接间接38纽约纽约 USD1USD1CHF1.6150/60 (CHF1.6150/60 ()苏黎士苏黎士 GBP1GBP1CHF2.4050/60 (CHF2.4050/60

42、()伦敦伦敦 GBP1GBP1USD1.5310/20 (USD1.5310/20 ()假设你手中有假设你手中有GBPGBP100万万由由()、()得交叉汇率为得交叉汇率为GBP1GBP1USDUSD解：解：比较比较()和和(d)(d)可知，可知，英镑的价格在伦敦市场较高英镑的价格在伦敦市场较高10000001.531010000001.531010276661027666英镑英镑盈利：盈利：2766627666英镑英镑2.40502.40501.61601.61602.40602.40601.61501.6150 即即GBP1GBP1USD1.4882/1.4898(d)USD1.4882/

43、1.4898(d)2.40602.40601.61501.6150/所以，应所以，应GBPGBPUSDUSDCHFCHFGBPGBP39第一步：判断是否存在汇率差异第一步：判断是否存在汇率差异纽约纽约 USD1USD1CHF1.6150/60CHF1.6150/60苏黎士苏黎士 CHF1CHF1GBP /GBP /伦敦伦敦 GBP1GBP1USD1.5310/20 USD1.5310/20 1 12.40602.40601 12.40502.40501.61502.40601.53101.61502.40601.53101.0211.021且且1 1第二步：选择线路第二步：选择线路纽约纽约 U

44、SD1USD1CHF1.6150/60CHF1.6150/60苏黎士苏黎士 GBP1GBP1CHF2.4050/60CHF2.4050/60伦敦伦敦 GBP1GBP1USD1.5310/20USD1.5310/20假设你手中有假设你手中有GBPGBP100万万应应GBPGBPUSDUSDCHFCHFGBPGBP间接间接直接直接间接间接从等式左边找从等式左边找40Copyright2009PearsonPrenticeHall.Allrightsreserved.练习：练习：纽约纽约 GBP1GBP1USD1.4205/15 USD1.4205/15 香港香港 USD1USD1HKD7.7804

45、/14 HKD7.7804/14 伦敦伦敦 GBP1GBP1HKD11.0723/33HKD11.0723/33假设你手中有假设你手中有HKDHKD100万万41由由(a)(a)、()得交叉汇率为得交叉汇率为USD1USD1HKDHKD解：解：比较比较(b)(b)和和(d)(d)可知，可知，港币的价格在香港市场较高港币的价格在香港市场较高10000007.781410000007.781410009981000998港币港币盈利：盈利：998998港币港币11.072311.07231.42151.421511.073311.07331.42051.4205 即即USD1USD1HKD7.78

46、92/7.7954(d)HKD7.7892/7.7954(d)11.072311.07231.42151.4215/所以，应所以，应HKDHKDUSDUSDGBPGBPHKDHKD纽约纽约 GBP1GBP1USD1.4205/15 USD1.4205/15 （）（）香港香港 USD1USD1HKD7.7804/14 HKD7.7804/14 （）（）伦敦伦敦 GBP1GBP1HKD11.0723/33HKD11.0723/33（）（）假设你手中有假设你手中有HKDHKD100万万由由()、()得交叉汇率为得交叉汇率为GBP1GBP1HKD1.42057.7804/1.42157.7814HKD

47、1.42057.7804/1.42157.7814 比较比较()和和(d)(d)可知，可知，港币的价格在香港市场较高港币的价格在香港市场较高 即即GBP1GBP1HKD11.0521/11.0613(d)HKD11.0521/11.0613(d)所以，应所以，应HKDHKDUSDUSDGBPGBPHKDHKD42解：解：纽约纽约 GBP1GBP1USD1.4205/15 USD1.4205/15 香港香港 USD1USD1HKD7.7804/14 HKD7.7804/14 伦敦伦敦 GBP1GBP1HKD11.0723/33HKD11.0723/33假设你手中有假设你手中有HKDHKD100万

48、万第一步：判断是否存在汇率差异第一步：判断是否存在汇率差异纽约纽约 GBP1GBP1USD1.4205/15 USD1.4205/15 香港香港 USD1USD1HKD7.7804/14 HKD7.7804/14 伦敦伦敦 HKD1HKD1GBP /GBP /直接直接直接直接间接间接1 111.073311.07331 111.072311.07231.42057.780411.07331.42057.780411.07330.99810.9981且且1 1因此，因此，存在汇率差异，有套汇机会存在汇率差异，有套汇机会第二步：选择线路第二步：选择线路从等式右边找从等式右边找 所以，应所以，应HK

49、DHKDUSDUSDGBPGBPHKDHKD43Copyright2009PearsonPrenticeHall.Allrightsreserved.Twotypesofarbitrageopportunitiestoconsider.Withrespecttotheexchangeratebetween two countries,thebid-askspreadinonecountryshouldbealignedwith一致，整齐thebid-askspreadintheother.Ifnot,abilateral arbitrageopportunityexists.Atriangul

50、ar arbitrage三角汇率三角汇率opportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.44Copyright2009PearsonPrenticeHall.Allrightsreserved.TriangularArbitrageTriangulararbitrageinvolvesthreesteps:Pickthecross-ra