Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets
以日本和美国为例，利用多因子资产定价模型检验资本管制消除前后两国股票市场风险价格的差异，发现1980年日本废除资本管制后市场趋于一体化，支持政府是国际资本市场分割根源的观点。
ABSTRACT The paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing models, we show that the price of risk in the U.S. and Japanese stock markets was different before, but not after, the liberalization. This evidence supports the view that governments are the source of international capital market segmentation.