日本證券市場國際化分析

ANALYSIS OF INTERNATIONALIZATION IN THE JAPANESE SECURITY MARKET

本文使用一個均衡模型來分析多國籍公司的資產定價問題，然後將此模型應用至日本證券市場，探討日本產業之國際化經營問題。我們將Campbell（1993）之跨期資產定價模型擴充，使模型適用於同時擁有本國資產與外國資產的多國籍公司。如此一來，跨期資產定價模型除了本國市場風險因子與本國市場跨期風險因子外，又增加了外國市場風險與外國市場跨期風險二個風險因子。實證結果發現，第一，日本產業資產報酬率與Campbell（1996）以美國產業資產報酬率有明顯差異，本國市場報酬率不再具有當期與未來間的平均回復性質。第二，外國市場風險與外國市場跨期風險確實存在，且二者間存在負向關係。第三，隨著國外資產比率的增加，風險趨避係數也隨之增加、本國市場風險的價格下降、外國市場風險的價格上升以及外匯風險價格由正值轉為負值。

This paper uses an equilibrium model to interpret the behavior of multinational companies in the Japanese stock market. We extend an intertemporal asset pricing model proposed by Campbell (1993) to allow that multinational companies hold domestic assets and foreign assets. Therefore, in addition to aggregate domestic market returns, world market return (excluding the Japanese market) is another important risk factor when pricing Japanese asset returns. In this setup, expected asset returns can be rewritten as a weighted average of domestic market risk, domestic market hedging risk, foreign market risk and foreign market hedging risk.