In recent times, there has been a renewed interest in covered interest parity deviations wherein financial economists have begun to analyze the drivers of cross-currency basis swap spread, a measure of the extent of deviations from covered interest parity (CIP), for different currencies. They have, however, not examined how stock market index returns associate with changes in cross-currency basis swap spreads, especially in the case of the euro basis which is the most liquid among peers. This paper provides an empirical perspective on this new question. Using standard techniques, we examine how stock market index returns relate to changes in cross-currency basis in the eurozone. Consistent with our stylized model, the empirical results show that there is a positive relationship between changes in the basis and stock market index returns whereby wider (tighter) CIP deviations go hand-in-hand with declines (increases) in stock market index returns in the eurozone. This positive relation mostly holds up, though not always statistically significant, and its size varies across different empirical specifications.

最近，人们重新关注了担保利率平价偏差，其中金融经济学家已开始分析不同货币的跨货币基础掉期利差的驱动因素，这是衡量与担保利率平价 (CIP) 偏差程度的指标. 然而，他们没有研究股票市场指数回报如何与跨货币基础掉期利差的变化相关联，尤其是在同业中流动性最强的欧元基础的情况下。本文为这个新问题提供了一个实证视角。使用标准技术，我们研究了股票市场指数回报与欧元区跨货币基础变化的关系。与我们的程式化模型一致，实证结果表明，基差变化与股票市场指数回报之间存在正相关关系，即更广泛（更紧密）的 CIP 偏差与欧元区股票市场指数回报的下降（增加）齐头并进。这种正相关性大多成立，尽管在统计上并不总是显着，并且其大小因不同的经验规范而异。