本文利用AR-GARCH模型探討美國與中國股市對於亞洲主要國家之股市報酬與風險的傳遞效果,何者影響較大;其中,以台灣、香港、新加坡、韓國、菲律賓、日本等六個亞洲國家的股票市場為實證對象。研究期間為金融危機後2012年1月1日至2017年3月3日。根據實證結果發現:亞洲主要國家股價報酬受中國前一天報酬均為正向顯著效果;其次序分別為日本、香港、台灣、菲律賓、韓國、新加坡。而除了菲律賓受美國前一天報酬為正向顯著效果外,其餘國家均為負向效果。由此顯示,中國股市對亞洲主要國家股市報酬的影響較大。
The research applies AR-GARCH model to analyze the spillovers effect on the return and risk of the equity markets of the major Asian countries by USA and China’s. The empirical stock market data studied includes Taiwan, Hong Kong, Singapore, Korea, Philippine, and Japan’s and the time observed ranges from January 1th, 2012 to March 3rd., 2017 after the financial crisis has been occurred. According to the empirical research, the effects of the equity return by China’s impact on Asian major countries’ are all positively significant, followed by Japan’s, Hong Kong’s, Taiwan’s, Philippine’s, Korea’s, and Singapore’s. Except for the USA’s impact on Philippine’s is positively significant, however, those of the other countries are all negatively significant. In conclusion, China has greater effects on the equity return of the Asian major countries.