国际投资学第一章.pptVIP

Bid-Ask Spread Difference between bid and ask price. Can also be calculated as a percentage: Bid-ask spread = 100*(ask – bid)/ask Size of bid-ask spread increases with exchange rate uncertainty (volatility) and lack of liquidity because of the bank/dealer risk aversion风险厌恶. Spreads are larger for currencies that have a low trading volume (thinly traded currencies). * 第二十八页，共六十九页。 Two Principles for bid and ask rates The a:b ask exchange rate is the reciprocal 倒数 of the b:a bid exchange rate. The a:b bid exchange rate is the reciprocal of the b:a ask exchange rate. Example: the $:￥ quote of $:￥ = 150.51 – 152.52 is equivalent to a ￥:$ quote of: ￥:$ = 0.00655 – 0.00664 * 第二十九页，共六十九页。 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0.9 1美元=墨西哥比索1.1 * 第三十页，共六十九页。 Arbitrage套算汇率 Arbitrage involves the simultaneous purchase of an undervalued asset or portfolio and sale of an overvalued but equivalent asset or portfolio组合, in order to obtain获得 a risk free profit on the price differential. 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。 Arbitrage keeps exchange rates in line with each other and with risk free interest rates. For example, the $:€ rate must be the same, at a given instant, in Frankfurt, Paris and New York. * 第三十一页，共六十九页。 Arbitrage Conditions with Exchange Rates An arbitrage could be created if it were profitable to buy from one bank and sell to another bank. When describing arbitrage, we are usually discussing a riskless transaction that does not require any invested capital. * 第三十二页，共六十九页。 Arbitrage Example Consider the following three banks each providing a $:￥ quote : Bank A Bank B Bank C 122.25-35 122.40-45 122.25-45 Does an arbitrage opportunity exist? One could buy dollars from Bank A for 122.35 yen per