국제주식시장 수익률 위험요인에 관한 연구
An Empirical Analysis of the International Asset Pricing Model
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본 연구는 국제주식시장의 통합 및 동조화현상을 확인하고 요인분석을 이용해 국제주식시장에서 초과 수익률의 글로벌 위험요인이 몇 개인지를 확인하였다. 이를 바탕으로 그 위험요인이 무엇인지를 식별하였다. 전세계 24개 인덱스의 초과 수익률을 이용하여 분석한 결과 국가별 주식시장의 통합 및 동조화 현상이 뚜렷하고 그 정도가 지속적으로 높아져 왔음을 확인하였다. 특히 2000년 이후 국가별 주식시장의 움직임은 최대 78% 까지 글로벌 위험요인에 의한 것으로 확인하였다. 본 연구는 팩터 수를 제시하기 위해 Bai and Ng (2002)의 방법론과 새로운 방법론을 이용하였다. 후자의 방법론을 이용하는 경우 글로벌 위험요인은 3개로 분석되었다. 또한 요인분석을 통해 얻어진 팩터 스코어가 세계 거시경제 변수와 매우 밀접한 관련을 갖고 있음을 확인하였다. 첫 번째 요인은 기존 문헌에서와 같이 글로벌 시장요인인 것으로 확인되었다. 두 번째 요인과 세 번째 요인은 실물시장(global real economy) 측면의 글로벌 거시경제변수와 금융시장(global financial market) 측면의 글로벌 거시경제변수와 높은 연관성을 가지고 있고 적절한 추적포트폴리오(tracking portfolio)를 구성해 거래가능 위험요인(tradable risk factors)을 이용하는 경우 Hansen-Jagannathan 거리(Hansen-Jagannathan Distance)로 측정한 가격오차(pricing error)가 0을 기각하지 못하는 것으로 나타났다.
Abstract
This paper examines global integration and/or co-movement and identifies a number of risk factors in the international stock market by using factor analysis. Based on the identified number of risk factors, the related economic fundamentals of global risk factors are studied. The global integration phenomenon is evident and is increasing gradually. Since 2000, the global risk factors have accounted for up to 78% of each stock market variation. In this study, the method of Bai and Ng (2002) and a new methodology proposed in this study are applied to uncover a number of risk factors. Based on the latter method, three risk factors are identified. The first risk factor is the global market factor. The second and third risk factors are related to macro-variables of global real economy and global financial market. The null hypothesis that the pricing error measured by Hansen-Jagannathan Distance is zero cannot be rejected when tradable risk factors are constructed using tracking portfolios with proper base assets.
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