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欧洲金融市场困局:在低迷中走向何方?

安然翻译,安然发布英文 ; 2013-02-18 10:48 阅读次 
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欧洲金融市场困局:在低迷中走向何方?“政治家刚走出办公室,记者就一拥而上。他对着面前的话筒说了一些话,随后市场做出反应。自从欧债危机爆发,欧洲金融市场就变得这么简单。”野村证券欧洲公司的首席执行官 John Phizackerley如此说道。

一方面投资者对于经济的不确定性深表忧虑,另一方面欧元区领导人要为曾经的错误决策买单,于是欧洲股票交易量锐减。政治和经济新闻不断刺激着股市和债市的神经,让那些原本想到欧元区寻找投资机会的投资者敬而远之。

相比2007年中期的高点,欧洲300指数龙头股的交易量大幅下滑45%。无独有偶,尽管2013年初股票价格飙升,但美国股市的交易量始终保持在低位,日均交易额仅为2009年上半年的60%。

不仅是股市,外汇和信用市场的交易量也在近几年显著减少。衡量市场波动性的指标呈现下降趋势,于此同时,“相关系数”(衡量市场上不同资产价值是否同时涨跌的指标)却开始升高。“一种厌倦的情绪正在市场里蔓延。”汇丰策略分析师Stacy Williams说。

当全球经济衰退看上去是因为金融市场活动造成时,让市场先冷静一段时间总是没错的。但低迷的市场导致很多银行雇员被解雇,那些幸灾乐祸的人仿佛还没意识到自己也同样身处险境。“那些个人投资者像是在做过山车,他们显然还没准备好迎接这么大的市场波动。”MIT斯隆管理学院的金融学教授Andrew Lo说。

从历史上看,在央行推行低利率的时期,投资者要想获得可观收益通常都会变得困难。而市场规模缩小,交易量减少会让这一切难上加难。现在的风险在于金融市场无法有效配置资金用于实体经济,从而也就无法促进就业和经济繁荣,这个趋势能否逆转是决定后危机时代金融世界格局的关键。

不论是在欧洲还是其他地区,经济危机都不是造成全球金融市场活动降低的唯一因素。央行的动作——美联储的量化宽松和欧洲央行的流动性注入等措施确实稳住了经济,但却无助其恢复活力。不仅市场活动低迷,交易需求也随之减少。

“外汇交易量总是和全球贸易息息相关”,外汇交易平台EBS的首席执行官 Gil Mandelzis说,“但去年的全球贸易却被几个重大事件左右——而这些事几乎都与经济危机有关。”EBS的数据显示,相比金融危机爆发前的2006年,2012年下半年电子外汇交易量下降了近30%。

糟糕的经济意味着IPO的减少。Dealogic的数据显示,2012年欧洲IPO市值跌至140亿美元,仅为2011年的2/3。一方面IPO股票减少,另一方面上市公司又回购股票,市场交易量的减少不可避免。

除此之外,针对市场风险的监管也是造成交易量萎缩的原因。银行必须拥有更多资本金用于交易;在公司债券市场,投资者担心银行坐庄会导致流通市场的债券规模越来越小;欧洲甚至间歇性的禁止做空。

监管机构还要求在进行诸如CDS之类的衍生品交易时必须要有足额的担保或者抵押券。根据托管和结算机构的数据,2012年全球CDS交易量较2010年中期下降了近18%。

相似的原因也能够用来解释不同市场间相关系数的提高。市场几乎被几个大事件左右:目前的争论则是发达经济体能否回到经济强劲增长的时代。近几年的市场就是在风险的“开关”之间不断切换,购买风险资产还是避险资产完全取决于当前流行的趋势。“股票,债券和外汇的波动都是同向的因为它们都跟随全球复苏的脚步。” 汇丰的Williams说。HSBC“风险开关指数”是衡量全球不同资产之间关联度的指标,尽管美股今年迎来暴涨,但指数仍然持续升高。

另外一种不置可否的争论是相关系数的提高是由计算机化引起的,高频交易可以让大量交易在一秒内同时完成。计算机的兴起让那些交易量大、交易成本低的模型得以应用,而那些模型都基于短期套利,通过设计复杂的金融产品来打破不同市场间的隔阂。

那些高频交易员却否认计算机程序会导致不同市场同向变化。“如果说我们能够在提高相关系数的同时又赚钱,那我们早就把全世界的钱都赚了,但很遗憾,我们并没有。”Remco Lenterman,一家高频交易公司总裁说道。

不论准确原因到底是什么,金融行业的就业实实在在地被这个低迷的市场影响了。根据英国经济研究中心的数据,伦敦大型金融机构的雇员数在今年跌至237000人,较2007年的高点下降了1/3。

假如说低交易量意味着交易状况的稳定,那么逻辑上这对那些资金的最后使用者来说是个好消息,比如要筹集资金的公司。“风险开关”的从众心理会为那些仔细研究股票和债券长期基本面的投资者创造盈利机会。“这(从众心理)意味着某些资产被错误定价了。理论上说,如果你的估值模型是正确的并且严格按照模型操作,那相关系数提高绝对是个好机会。”LSE高级董事Paul Woolley说。

即使不断升高的相关系数会为那些积极的长期投资者带来机会,但在目前这样的环境下很难对进行深度研究的成本进行有效控制,于是投资者转而投资那些能够准确驾驭市场趋势同时成本又低廉的指数型ETF。同时,不断提高的相关系数也为分散投资组合带来困难,这个以往被用来平衡风险和收益的手段现在显得有些力不从心。一切的一切都让投资者踌躇不前,于是实体经济的资金来源开始减少。

一个更大的担忧是目前的“冷静期”只是暴风雨前的宁静。相关系数提高本身并不是问题,“问题在于什么原因导致相关系数提高,这才是我们应该关心的问题。目前真正的危险在于央行现在的政策在为新一轮的经济危机埋下祸根。” Smithers & Co的创始人Andrew Smithers说。

在全球股市一片欢腾的时候谈论若隐若现的危机看上去有些让人厌恶,更何况市场波动性指标也已经下降。Vix,即波动率指数,是衡量美国未来股票市场波动的重要指标,也被戏称为美国“担忧指数”,即使在去年欧债危机和美国财政悬崖期间都一路高歌猛进。在今年,指数回到了危机爆发前的水平。

但Vix和Vstoxx(欧洲波动率指数),体现的仅仅是未来几个月的波动率水平,长期来看,市场的波动率可能会高得多。“可能现在我们正风平浪静,但9个月之后(意指长期)谁也不知道会不会有暴风雨。” 瑞银的策略分析师Ramin Nakisa说。

韬睿全球投资委员会主席Robert Brown说:“就目前的全球政治经济风险来看,真实的波动率水平可能远高于波动率指标反应的那样。更加危险的是,人们似乎身处险境而不自知。”

还有很多很多事情会引发新一轮的担忧,比如欧元区经济继续衰退以及其他始料未及的突发事件。另外的忧虑则是即使监管机构作出很多努力却仍然无法让整个金融系统更加安全地运行。

尽管担忧始终存在,但也有些许亮点。比如,“货币战争”的打响让外汇交易量开始提高,尤其是在日元交易业务领域较为强势的EBS,在一月的交易量较去年同期上涨了22%;今年股价的飙升也让一部分乐观主义者开始改变对经济的预期,认为经济筑底已经完成。但显然并非所有人都这么认为。“根据历史来看,经济危机之后的恐慌会持续更长时间”,Lo教授说,“1929年的危机之后也是同样的情形,我认为经济回升至少还需要3-5年的时间。”

交易量减少引起的波动率下降是否只是表象?相关系数提高的原因究竟是什么?在经过挣扎之后,欧洲金融困局到底如何解开?市场又会走向何方?一切一切的问题恐怕只有时间会告诉我们答案。

欧洲金融市场困局:在低迷中走向何方?“政治家刚走出办公室,记者就一拥而上。他对着面前的话筒说了一些话,随后市场做出反应。自从欧债危机爆发,欧洲金融市场就变得这么简单。”野村证券欧洲公司的首席执行官 John Phizackerley如此说道。

一方面投资者对于经济的不确定性深表忧虑,另一方面欧元区领导人要为曾经的错误决策买单,于是欧洲股票交易量锐减。政治和经济新闻不断刺激着股市和债市的神经,让那些原本想到欧元区寻找投资机会的投资者敬而远之。

相比2007年中期的高点,欧洲300指数龙头股的交易量大幅下滑45%。无独有偶,尽管2013年初股票价格飙升,但美国股市的交易量始终保持在低位,日均交易额仅为2009年上半年的60%。

不仅是股市,外汇和信用市场的交易量也在近几年显著减少。衡量市场波动性的指标呈现下降趋势,于此同时,“相关系数”(衡量市场上不同资产价值是否同时涨跌的指标)却开始升高。“一种厌倦的情绪正在市场里蔓延。”汇丰策略分析师Stacy Williams说。

当全球经济衰退看上去是因为金融市场活动造成时,让市场先冷静一段时间总是没错的。但低迷的市场导致很多银行雇员被解雇,那些幸灾乐祸的人仿佛还没意识到自己也同样身处险境。“那些个人投资者像是在做过山车,他们显然还没准备好迎接这么大的市场波动。”MIT斯隆管理学院的金融学教授Andrew Lo说。

从历史上看,在央行推行低利率的时期,投资者要想获得可观收益通常都会变得困难。而市场规模缩小,交易量减少会让这一切难上加难。现在的风险在于金融市场无法有效配置资金用于实体经济,从而也就无法促进就业和经济繁荣,这个趋势能否逆转是决定后危机时代金融世界格局的关键。

不论是在欧洲还是其他地区,经济危机都不是造成全球金融市场活动降低的唯一因素。央行的动作——美联储的量化宽松和欧洲央行的流动性注入等措施确实稳住了经济,但却无助其恢复活力。不仅市场活动低迷,交易需求也随之减少。

“外汇交易量总是和全球贸易息息相关”,外汇交易平台EBS的首席执行官 Gil Mandelzis说,“但去年的全球贸易却被几个重大事件左右——而这些事几乎都与经济危机有关。”EBS的数据显示,相比金融危机爆发前的2006年,2012年下半年电子外汇交易量下降了近30%。

糟糕的经济意味着IPO的减少。Dealogic的数据显示,2012年欧洲IPO市值跌至140亿美元,仅为2011年的2/3。一方面IPO股票减少,另一方面上市公司又回购股票,市场交易量的减少不可避免。

除此之外,针对市场风险的监管也是造成交易量萎缩的原因。银行必须拥有更多资本金用于交易;在公司债券市场,投资者担心银行坐庄会导致流通市场的债券规模越来越小;欧洲甚至间歇性的禁止做空。

监管机构还要求在进行诸如CDS之类的衍生品交易时必须要有足额的担保或者抵押券。根据托管和结算机构的数据,2012年全球CDS交易量较2010年中期下降了近18%。

相似的原因也能够用来解释不同市场间相关系数的提高。市场几乎被几个大事件左右:目前的争论则是发达经济体能否回到经济强劲增长的时代。近几年的市场就是在风险的“开关”之间不断切换,购买风险资产还是避险资产完全取决于当前流行的趋势。“股票,债券和外汇的波动都是同向的因为它们都跟随全球复苏的脚步。” 汇丰的Williams说。HSBC“风险开关指数”是衡量全球不同资产之间关联度的指标,尽管美股今年迎来暴涨,但指数仍然持续升高。

另外一种不置可否的争论是相关系数的提高是由计算机化引起的,高频交易可以让大量交易在一秒内同时完成。计算机的兴起让那些交易量大、交易成本低的模型得以应用,而那些模型都基于短期套利,通过设计复杂的金融产品来打破不同市场间的隔阂。

那些高频交易员却否认计算机程序会导致不同市场同向变化。“如果说我们能够在提高相关系数的同时又赚钱,那我们早就把全世界的钱都赚了,但很遗憾,我们并没有。”Remco Lenterman,一家高频交易公司总裁说道。

不论准确原因到底是什么,金融行业的就业实实在在地被这个低迷的市场影响了。根据英国经济研究中心的数据,伦敦大型金融机构的雇员数在今年跌至237000人,较2007年的高点下降了1/3。

假如说低交易量意味着交易状况的稳定,那么逻辑上这对那些资金的最后使用者来说是个好消息,比如要筹集资金的公司。“风险开关”的从众心理会为那些仔细研究股票和债券长期基本面的投资者创造盈利机会。“这(从众心理)意味着某些资产被错误定价了。理论上说,如果你的估值模型是正确的并且严格按照模型操作,那相关系数提高绝对是个好机会。”LSE高级董事Paul Woolley说。

即使不断升高的相关系数会为那些积极的长期投资者带来机会,但在目前这样的环境下很难对进行深度研究的成本进行有效控制,于是投资者转而投资那些能够准确驾驭市场趋势同时成本又低廉的指数型ETF。同时,不断提高的相关系数也为分散投资组合带来困难,这个以往被用来平衡风险和收益的手段现在显得有些力不从心。一切的一切都让投资者踌躇不前,于是实体经济的资金来源开始减少。

一个更大的担忧是目前的“冷静期”只是暴风雨前的宁静。相关系数提高本身并不是问题,“问题在于什么原因导致相关系数提高,这才是我们应该关心的问题。目前真正的危险在于央行现在的政策在为新一轮的经济危机埋下祸根。” Smithers & Co的创始人Andrew Smithers说。

在全球股市一片欢腾的时候谈论若隐若现的危机看上去有些让人厌恶,更何况市场波动性指标也已经下降。Vix,即波动率指数,是衡量美国未来股票市场波动的重要指标,也被戏称为美国“担忧指数”,即使在去年欧债危机和美国财政悬崖期间都一路高歌猛进。在今年,指数回到了危机爆发前的水平。

但Vix和Vstoxx(欧洲波动率指数),体现的仅仅是未来几个月的波动率水平,长期来看,市场的波动率可能会高得多。“可能现在我们正风平浪静,但9个月之后(意指长期)谁也不知道会不会有暴风雨。” 瑞银的策略分析师Ramin Nakisa说。

韬睿全球投资委员会主席Robert Brown说:“就目前的全球政治经济风险来看,真实的波动率水平可能远高于波动率指标反应的那样。更加危险的是,人们似乎身处险境而不自知。”

还有很多很多事情会引发新一轮的担忧,比如欧元区经济继续衰退以及其他始料未及的突发事件。另外的忧虑则是即使监管机构作出很多努力却仍然无法让整个金融系统更加安全地运行。

尽管担忧始终存在,但也有些许亮点。比如,“货币战争”的打响让外汇交易量开始提高,尤其是在日元交易业务领域较为强势的EBS,在一月的交易量较去年同期上涨了22%;今年股价的飙升也让一部分乐观主义者开始改变对经济的预期,认为经济筑底已经完成。但显然并非所有人都这么认为。“根据历史来看,经济危机之后的恐慌会持续更长时间”,Lo教授说,“1929年的危机之后也是同样的情形,我认为经济回升至少还需要3-5年的时间。”

交易量减少引起的波动率下降是否只是表象?相关系数提高的原因究竟是什么?在经过挣扎之后,欧洲金融困局到底如何解开?市场又会走向何方?一切一切的问题恐怕只有时间会告诉我们答案。

Politician walks out of door. Journalist puts microphone to his mouth. Politician mouths something. Markets move.” Life became rudimentary for European financial markets when the eurozone debt crisis erupted, says John Phizackerley, chief executive of Nomura’s European operations.

Gripped by uncertainty and fixated by eurozone leaders’ moves and missteps, share trading volumes have fallen sharply. Such political and economic news has increasingly driven stock and bond markets, deterring traders who would otherwise have sought profitable opportunities from big trends unrelated to the eurozone.

Volumes in the Eurofirst 300 index leading stocks have fallen more than 45 per cent from their peak in the second half of 2007. And it is not just European markets that have fallen into a funk. Although early 2013 saw share prices surging as the crisis mood ebbed, US trading volumes remain low, with daily trades down 40 per cent since the first half of 2009.

Turnover in foreign exchange and credit markets has also tumbled over recent years. Measures of market volatility – how much share prices chop and change – have fallen, while “correlation indices”, showing how different asset classes are rising and falling together, have increased. “A degree of jadedness has entered markets,” says Stacy Williams, strategist at HSBC.

After a global economic slump caused by seemingly reckless financial market activity, a period of calm might appear welcome. But moribund markets spell bad news for bank employees, and schadenfreude by others would be misplaced if they were being lulled into a false sense of security. “Individual investors are in for a roller-coaster ride in terms of volatility that they are not prepared to deal with,” warns Andrew Lo, professor of finance at the MIT Sloan school of management in Boston.

Historically low interest rates orchestrated by central banks have made it difficult for investors to earn decent returns. Thinner, static markets make it harder still to eke out gains. The risk is that financial markets fail in their role of promoting job creation and prosperity by allocating capital efficiently to the real economy. Whether such trends are reversed will also determine the shape of the post-crisis financial world.

“The problem will arrive when we see a loss of risk appetite and we get a ‘discontinuous adjustment’ as they say – in other words, it could be vicious,” says Mark Cliffe, chief economist at ING, the Dutch bank.

The crises of recent years – in the eurozone and elsewhere – have not been the only factors depressing global financial market activity. Actions by central banks, such as “quantitative easing” by the US Federal Reserve or large-scale liquidity injections by the European Central Bank, have stabilised economies – but failed to create much growth. Not only are markets less exciting, sluggish activity means less need for transactions.

“Foreign exchange volumes are highly correlated to global trade,” explains Gil Mandelzis, chief executive of EBS, the trading platform. “Last year trading was centred around some very meaningful events – usually news of something to do with the crisis.” According to EBS data, electronic foreign exchange trading volumes were almost 30 per cent lower in the second half of last year than in the same period in 2006 – before the financial crisis erupted.

Poor economic growth has meant fewer companies listing their shares. The value of European initial public offerings fell by almost two-thirds last year compared with 2011, to just $14bn, according to Dealogic data. With fewer fresh supplies of equities, and companies buying back shares, trading in markets has inevitably fallen.

Also depressing activity has been a regulatory onslaught aimed at making markets safer. Banks are having to hold more capital to trade; in corporate bond markets, investors fret that banks have scaled back their market making so much that it would be hard to sell if sentiment turned suddenly. Europe has seen intermittent bans on “short selling” – selling assets you do not own in the hope of buying them back at cheaper prices.

Regulators are demanding that trades in derivatives such as credit default swaps (CDS), which protect against default, are backed by adequate collateral or security. Global trading in CDS has fallen by about 18 per cent compared with mid-2010, according to data from the Depository Trust & Clearing Corporation.

Similar factors explain rising cross-market correlation indices. Markets have all focused on the same big issues: currently, whether the world’s advanced economies can return to solid growth. Recent years have been characterised by switches between “risk on” and “risk off” – or between buying riskier assets and heading for havens – depending on the prevailing sentiment. “Correlations are high for good reasons. Equities, bonds and currencies are all going up and down together because they all depend on the global recovery,” says Mr Williams. HSBC’s “risk-on, risk-off” index, which measures the extent of cross-asset correlations globally, remains elevated even after this year’s share rally.

A more controversial issue is whether correlations have risen be­cause of computerised, “high frequency” trading executed in fractions of a second. Technology has encouraged high-volume, low-margin business models based on exploiting short-term trends, and broken down distinctions between different financial products by encouraging complex products that bridge traditional distinctions.

High-frequency traders, however, deny that their computer algorithms have the effect of pushing markets all in the same direction. “If we were truly able to both cause correlations and profit from it, we would be making infinite amounts of money, which we are not,” says Remco Lenterman, managing director of IMC, a high-frequency trading company, who speaks on behalf of the sector.

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Whatever the precise causes, lacklustre markets have hit jobs in finance. Employment in London’s wholesale financial sector will drop to 237,000 this year, down a third from a peak in 2007, says the UK’s Centre for Economics and Business Research. Yet a lesson from the crisis is that banker happiness levels are not necessarily positively correlated with future economic growth prospects. “Things that worry banks are on the whole good for us. It is the things that don’t worry banks that we should watch out for,” says Andrew Smithers, founder of Smithers & Co, the economic advisers.

If low volumes mean more stable trading conditions, this should logically be good news for “end users” of capital markets, such as companies thinking of raising equity. A “risk-on, risk-off” herd mentality could create opportunities for active investors who take the time to scrutinise fundamental factors that should determine bond or share prices over the long term. “It suggests things are being mispriced. If your valuation model is good and seriously applied, then rising correlations are a wonderful opportunity,” says Paul Woolley, senior fellow at the London School of Economics.

Nevertheless, bankers and financiers are certain that their woes matter for the rest of the economy. “Economies benefit from viable, liquid and transparent capital markets,” says Mr Phizackerley of Nomura. “We want Europe to go head-to-head with the US and Asia. We don’t want it to be shrunk to some kind of backwater.”

Even if higher correlations create opportunities for active, long-term investors, it is harder to justify the immediate cost of extensive research in this environment. “How can you charge a fee if you are selling different shades of grey?” asks Ramin Nakisa, strategist at UBS. Investors have been attracted increasingly to low cost, index-tracking “exchange traded funds” as a cheaper way of riding market trends. Higher correlations across asset classes make it more difficult to diversify portfolios, a traditional strategy for improving the balance between risks and rewards. If that makes investors more hesitant, flows of capital to the real economy would be further constrained.

A bigger concern is that markets are simply enjoying a calm period before the next storm. The rise in correlations is not a problem in itself, “it is the reason why correlations have gone up that we should worry about”, argues Mr Smithers. “The really dangerous thing that is going on at the moment is that central bank policy is increasing the risk of another crisis.”

Arguing that fresh turmoil looms ahead seems odd when global stock markets are enjoying a rally and measures of market volatility have fallen. The CBOE Vix index, the flagship Wall Street yardstick of expected US share market turbulence – dubbed the US “fear index” – remained surprisingly subdued last year even as the eurozone crisis intensified and the US faced its fiscal crisis. This year, it has fallen to levels not seen since before the financial crisis erupted.

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But the headline Vix index, and Vstoxx, its European equivalent, which has behaved similarly, measure implied volatility levels expected only over the month ahead. Measures of expected market volatility over longer periods are noticeably higher. “The market tells you that at the moment we’re on an even keel, but in nine months’ time there could be an upset,” says Mr Nakisa.

Robert Brown, chairman of the global investment committee at Towers Watson consultancy, which advises sovereign wealth funds, says: “The actual level of true volatility in the sense of global political and economic risk is higher than what is reflected in short-term market volatility. The danger is that people get lulled into a false sense of security.”

There are plenty of possible events that could trigger fresh turmoil, from unexpected shocks to the global economy or setbacks in the eurozone, US or elsewhere. Another worry is that, despite all their efforts, regulators have failed to make the financial system safer.

“Systemic stability remains work in progress,” warns Mr Cliffe of ING. “The kinds of structural changes that we have seen in financial markets suggest that asset market volatility, which triggered the crisis, could actually get worse.”

There have been signs of improvement. Warnings about future turmoil might be too gloomy, creating opportunities for those who place trades on volatility indicators. Foreign exchange markets sprang back to life in January thanks to talk of a “currency war” fought by the world’s central banks, led by Japan’s. Foreign exchange volumes on EBS, the trading platform, were 22 per cent higher in January than a year earlier, although that might reflect EBS’s strength in yen transactions. Equity trading volumes have edged higher, encouraging optimists to believe gradual improvements in the economic outlook will soon feed through into healthier financial markets.

But not everyone is convinced. The lesson of history is that after financial crises, market edginess is long lasting, says Prof Lo.

“The same happened after the 1929 crash. It eventually calms, but I expect that we have at least three to five years until we see the financial and regulatory landscape settling down.”


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