Hi Shiv,
Current levels of negative market yields seem to suggest that you are correct in your belief that the difference between negative returns and positive returns are differences in currencies. In fact, a well known market commentator has said that the negative yields are the cost of a call option on an appreciating currency after a breakup in the Euro.
My own opinion is that whatever the cause of the negative nominal yields, there are rational reasons to buy the instruments having nothing to do with collecting the coupon. For each investors there is probably a unique story.
With smiles,
Jason A. Voss, CFA