Uncovered Equity 'Disparity' in Emerging Markets
Uncovered Equity 'Disparity' in Emerging Markets
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新兴市场中未发现的股票“差异”
DOI：
10.2139/ssrn.3205055
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Cheng Yan
中科院分区：
文献类型：
--
作者：
Ana‐Maria Fuertes;Kate Phylaktis;Cheng Yan
Hau和Rey（2006）的投资组合再平衡理论产生了未覆盖股本平价（UEP）预测，即本币股本回报升值被货币贬值抵消。使用每日数据对八个亚洲新兴市场进行的向量自回归模型估计和测试显示，股票回报和货币回报之间存在正相关关系。未被覆盖的股权“差距”的程度是随时间变化和不对称的，因为它在危机中加剧。我们的分析表明，UEP的失败主要是由于投资者的回报追逐行为。稳健性检验证实，这种对未覆盖权益“差异”的解释比现有的避险或市场风险假设更合适。
The portfolio-rebalancing theory of Hau and Rey (2006) yields the uncovered equity parity (UEP) prediction that local-currency equity return appreciation is offset by currency depreciation. Vector autoregressive model estimation and tests for eight Asian emerging markets using daily data reveal instead a positive nexus between equity returns and currency returns. The extent of the uncovered equity “disparity” is time-varying and asymmetric since it exacerbates in crises. Our analysis suggests that the UEP failure is primarily due to investors’ return-chasing behavior. Robustness checks confirm that this explanation of the uncovered equity “disparity” is more appropriate than existing flight-to-safety or market risk conjectures.