本文利用GJR-GARCH模型探討美國股價報酬對臺灣、新加坡、香港及韓國等亞洲四小龍股市報酬與風險是否存在不對稱的傳遞效果。實證結果發現,研究期間2008年至2017年GJR-GARCH模型之變異數方程式估計結果看出,亞洲四小龍受美國前一天報酬均存在不對稱效果,其次序分別為臺灣、新加坡、香港及韓國,顯示經濟體系不利事件或負面訊息對亞洲四小龍股市報酬波動性存在不對稱傳遞,其中對韓國影響最大,對台灣影響最小。
This thesis explores whether the US stock price has an asymmetric transmission effect on the Asian Four Dragons stock market returns and risks, using GJR-GARCH model. The estimated results in the GJR-GARCH model variance equation turn out to prove that previous day’s US stock price influences the Asian Four Dragons, with Taiwan , Singapore , Hong Kong and South Korea during the period from 2008 through 2017. Asymmetric transmission influence of unfavorable events or negative information in economic system on Asian Four Dragons stock market returns fluctuation, with Korea the most and Taiwan the least.