我國與美、日股市連動性之研究－－運用三元EGARCH模型

由於全球化與自由化的潮流，以及國際性與區域性貿易組織的相繼成立，國與國之間的貿易與資金往來較以往頻繁與密切，再加上資訊科技與網際網路的發達，國際資本市場間跨時或跨區的重大資訊得以迅速地傳送到世界各地，進而也使得各個市場之間存在相當的關聯與互動。

Globalization, liberalization, and the rapid advancement of telecommunications technology have enhanced the linkage among international financial markets. This study provides insight into the nature and degree of interaction of three international stock markets - the US, Japan and Taiwan. The transmission mechanism of return and volatility spillovers across these three stock markets is investigated through a multivariate EGARCH model.
Our results reveal that the US market plays the information leadership role and there are interactive return spillover effects between the US and Japanese markets. An analysis of before and after the Asian financial crisis shows that the linkages and interdependencies among the three markets have increased in the post-crisis period. Furthermore, asymmetric effects are also found in the information transmission mechanism among these three countries.