Flight-to-quality and correlation between currency and stock returns
We document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions. Capital tends to move out of emerging into developed countries in global down markets, leading to depreciation (appreciation) of emerging (developed) currencies. This generate...
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| Veröffentlicht in: | Journal of banking & finance 2016-01, Vol.62, p.191-212 |
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| container_title | Journal of banking & finance |
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| creator | Cho, Jin-Wan Choi, Joung Hwa Kim, Taeyong Kim, Woojin |
| description | We document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions. Capital tends to move out of emerging into developed countries in global down markets, leading to depreciation (appreciation) of emerging (developed) currencies. This generates a positive (negative) correlation between currency and equity in emerging (developed) markets which is amplified by the magnitude of the capital movement. We also verify that hedging currency risks may undo the natural hedge and increase the total return volatility under negative correlation. |
| doi_str_mv | 10.1016/j.jbankfin.2014.09.003 |
| format | Article |
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We also verify that hedging currency risks may undo the natural hedge and increase the total return volatility under negative correlation.</description><subject>Capital flows</subject><subject>Capital movement</subject><subject>Capital movements</subject><subject>Correlation analysis</subject><subject>Correlation between currency and stock returns</subject><subject>Currency</subject><subject>Currency devaluation</subject><subject>Currency hedging</subject><subject>Flight-to-quality</subject><subject>Global economy</subject><subject>Hedging</subject><subject>Studies</subject><subject>World economy</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><recordid>eNqFkMFO3DAQhi1UJLYLr4Ai9dJLwtiOnfjWihaohNRLOVuOPQFnQ8zaTtG-fY22XHrpXEYaff9o5iPkkkJDgcqrqZkGs-xGvzQMaNuAagD4CdnQvmO15B37QDbAu75umZRn5GNKE5TqKd-Qbzezf3zKdQ71fjWzz4fKLK6yIUacTfZhqQbMr4hLZdcyW-wRSDnYXRUxr3FJ5-R0NHPCi799Sx5uvv-6vqvvf97-uP56X1sBXa6dFHxshWiBMy5c7wxTlDoA6oTi_cCE6Z1UjFGDQolByRFbgQNiRxFh5Fvy-bj3JYb9iinrZ58szrNZMKxJ0070qgUlZUE__YNOoZxaritUq5iAtleFkkfKxpBSxFG_RP9s4kFT0G9y9aTf5eo3uRqULnJL8MsxiOXd3x6jTtYXOeh8RJu1C_5_K_4APw-Feg</recordid><startdate>20160101</startdate><enddate>20160101</enddate><creator>Cho, Jin-Wan</creator><creator>Choi, Joung Hwa</creator><creator>Kim, Taeyong</creator><creator>Kim, Woojin</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20160101</creationdate><title>Flight-to-quality and correlation between currency and stock returns</title><author>Cho, Jin-Wan ; Choi, Joung Hwa ; Kim, Taeyong ; Kim, Woojin</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c507t-d653f455403235d8da2911d001d5938b25a8d69221ae595b96fe45ebee71ee0f3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>Capital flows</topic><topic>Capital movement</topic><topic>Capital movements</topic><topic>Correlation analysis</topic><topic>Correlation between currency and stock returns</topic><topic>Currency</topic><topic>Currency devaluation</topic><topic>Currency hedging</topic><topic>Flight-to-quality</topic><topic>Global economy</topic><topic>Hedging</topic><topic>Studies</topic><topic>World economy</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Cho, Jin-Wan</creatorcontrib><creatorcontrib>Choi, Joung Hwa</creatorcontrib><creatorcontrib>Kim, Taeyong</creatorcontrib><creatorcontrib>Kim, Woojin</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Cho, Jin-Wan</au><au>Choi, Joung Hwa</au><au>Kim, Taeyong</au><au>Kim, Woojin</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Flight-to-quality and correlation between currency and stock returns</atitle><jtitle>Journal of banking & finance</jtitle><date>2016-01-01</date><risdate>2016</risdate><volume>62</volume><spage>191</spage><epage>212</epage><pages>191-212</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>We document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions. 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| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2016-01, Vol.62, p.191-212 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1758940966 |
| source | ScienceDirect Journals (5 years ago - present) |
| subjects | Capital flows Capital movement Capital movements Correlation analysis Correlation between currency and stock returns Currency Currency devaluation Currency hedging Flight-to-quality Global economy Hedging Studies World economy |
| title | Flight-to-quality and correlation between currency and stock returns |
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