Joint Dynamics in Carry Trade, Stock and Bond Markets

• Main Authors: AN-JIE LIN, 林安潔
• Other Authors: Chih-Chiang Wu
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/09382072806993109335

碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 104 === Investors get profits by borrowing money from low interest rate countries and investing in high interest rate countries, which strategy is called carry trade strategy. However, the carry trade strategy got loss during the financial crisis. In order to hedge the carry trade risk, it’s important for investors to diversify investment portfolio. Hence, our paper explore the correlation among the carry trade, stock and bond markets. We demonstrated that the carry trade strategy and stock market have a positive correlation, especially during the economic expansion. On the other hand, both the carry trade strategy and the stock market have a negative relationship with the bond market, especially during the economic recession.