本文探討兩岸三地股市間報酬與波動的不對稱外溢效果，以大陸上海B、香港、台灣之股市，以三元ASAR-EGARCH模型進行實證分析，以作為日後國際投資者投資的參考依據。本研究蒐集1992年2月21日至2002年2月28日止台灣發行量加權股價指數、香港恆生指數、上海B股指數的日報酬率，以探討兩岸三地股市間報酬及波動的不對稱外溢效果。實證結果發現：1.條件平均數方程式中可看出，兩岸三地股市間以香港為主要之影響者，其正報酬對於兩岸三地都有顯著影響且為正向關係，即香港落差一期發生正報酬率時，會使兩岸三地之報酬率增加。至於在報酬的不對稱性上，兩岸三地對於本身過去之報酬率影響有不對稱效果，而不受其他二地之影響，若以好消息及壞消息的傳遞效果比較，皆是壞消息的調整速度較快，符合Koutmos(1998，1999)所提出的：投資人對於壞消息的反應比好消息還快。2.條件變異數方程式：兩岸三地股市間以仍香港為主要的波動輸出者，其前期波動對於兩岸三地當期之波動都有顯著影響。兩岸三地都有顯著之自我波動外溢效果，對於自身衝擊之訊息傳遞，皆以「壞消息」對報酬波動之影響較為顯著。從兩岸三地的波動傳遞上，香港與上海B無論在雙向的波動回饋、波動不對稱外溢效果及共變異數之互動關係上，較為密切，且以壞消息較為顯著。台灣與上海B股市間，也有波動外溢之回饋效果，但有關未預期的衝擊上，對於好、壞消息之波動傳遞並無不同。3.上海B與香港股市的互動關係密切。香港在大陸貿易及資金融資方面，皆佔有重要角色。4.香港仍為兩岸三地股市間的主要影響者。香港不論在報酬及波動的傳遞上都領先其他二地。5.台灣與上海股市間存有交互的報酬外溢效果，存有某種程度的連動關係。6.ASAR模型中，價格調整的不對稱成本也可作為槓桿效果的另一個解釋。

This article examines return and volatility asymmetric spillovers effect among Taiwan, Hong Kong and Mainland China in tri ASAR-EGARCH Model. Daily stock indexes were collected from 1992/2/21 to 2002/2/28 to compute daily return. The empirical results：
1. The interrelationship between Shanghai B and Hong Kong reveals a close tie. Kong plays a significant role in international trade and capital finance in Mainland China.
2. Hong Kong is a major influential source among Taiwan, Hong Kong, and Mainland China. Hong Kong stock market leads to return and volatility transmission to the other markets.
3. It is existed some extent reciprocal return spillovers effect between Taiwan and Shanghai
4. In ASAR model, the evidence in this article offers the leverage effect of an alternative explanation that is linked to the asymmetric costs of price adjustments.

目錄 I
表次 III
圖次 IV
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 論文架構 6
第四節 研究流程 7
第貳章　文獻探討 8
第一節 異質波動 8
第二節 不對稱性效果 10
第三節 中國大陸B股市場 16
第四節 國際股市不對稱外溢效果之相關研究 21
第五節 兩岸三地股市間之相關研究 24
第參章 研究方法 33
第一節 觀念性架構 34
第二節 統計檢定 35
第三節 GARCH模型 39
第四節 ASAR模型 40
第五節 EGARCH模型 42
第六節 實證模型－三元ASAR-EGARCH模型 45
第肆章 實證分析 50
第一節 資料來源與處理 50
第二節 報酬外溢及不對稱效果 58
第三節 波動不對稱外溢效果 64
第伍章 結論與建議 70
第一節 結論 70
第二節 研究限制及建議 72
參考文獻 74

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