投資者進行國際投資時，通常必須關心國際資本市場的動態及國際政治、經濟局勢的變化。本文乃針對對台灣、日本與香港三國股票市場股價指數報酬率與波動不對稱性與外溢效果作一探討，以瞭解彼此間之互動關係，同時亦可對國際股票市場之間的關聯有較完整的概念。本文建構三元不對稱VEC-GARCH-M模型，研究期間選自1990年2月1日至2002年12月31日止，去除非交易日共2000筆日資料。實證結果發現：
一、共整合分析結果顯示，台灣、日本與香港股價指數存在共整合關係。
二、各市場股價報酬率皆存在大波動後往往伴隨大波動，小波動之後伴隨著小波動之波動叢聚現象且股市好壞消息對股市波動之影響並不一致，即表示資訊外溢所造成波動具不對稱性效果。
三、三國股市均受前期條件共變異之影響，表示三國股市具有動態相關性，上述各國股市報酬率與波動性的互動關係具有相當的可信度。
四、香港與台灣股市短期受到經濟體係干擾，會經由誤差修正項的調整而恢復長期均衡，亦即投資香港與台灣需考慮三國股市間之共移性。

The purpose of this study is to detect the effects of co-movement and volatility spillovers among main Asian Pacific stock markets. The stock markets which employed for empirical investigations are Taiwan, Japan and Hong Kong. This research has applied trivariate asymmetric VEC-GARCH-M model to examine the interactive relationship of return and volatility among Taiwan, Japan and Hong Kong stock markets.
The sample period begins from Feb. 1, 1990 to Dec. 31, 2002. The main empirical results are as follows. Firstly, the result of cointegration test has shown that there is a long-run equilibrium relationship among Taiwan, Japan and Hong Kong stock markets. Secondly, the volatility clustering effects, the asymmetric effects and volatility switching effects among these stock markets also exist. Thirdly, the conditional covariance of the stock returns among Taiwan, Japan and Hong Kong stock markets are significant. Fourthly, Taiwan and Hong Kong stock markets have the effect of short-run adjustment among these stock markets in error correction term. It implies that someone invests in Taiwan and Hong Kong stock market, he would consider the co-movement among the three stock markets.

目　次
第壹章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 3
第三節　研究方法與步驟 4
第四節　研究對象與資料來源 7
第五節　論文架構 8
第貳章　理論基礎與文獻探討 10
第一節　理論基礎 10
第二節　文獻回顧 14
第三節　本章綜論 25
第參章　模型估計與檢定之相關計量方法 28
第一節　定態序列及單根檢定 28
第二節　共整合檢定 35
第三節　向量誤差修正模型及因果關係 40
第四節　ARCH與GARCH模式之估計與檢定 43
第五節　本章小結 57
第肆章　模式建構及估計檢定 58
第一節　資料描述 58
第二節　單根檢定 66
第三節　Johansen之共整合檢定與估計結果 73
第四節　VECM估計下殘差項ARCH效果與不對稱性之檢定 74
第五節　實證引用模式之建構 79
第六節　本章小結 84
第伍章　實證結果分析 85
第一節　VECM-E-GARCH-M之估計結果與分析 85
第二節　VECM-GJR-GARCH-M之估計結果與分析 89
第三節　VECM-VS-GARCH-M之估計結果與分析 94
第四節　綜合分析 99
第陸章　結論與建議 102
第一節　結論 102
第二節　建議 104
參考文獻 106

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