本研究主要應用VAR模型與EGARCH模型,探討金融海嘯前後,美國股市與臺灣、上海、香港、日本及韓國股市間的連動關係。實證結果發現,美股在亞太股市的領先地位並未因金融海嘯而動搖,對亞太股市反而更具影響力。從VAR模型中發現美股對亞股的因果關係、衝擊與解釋力,較海嘯前大幅增加。從EGARCH模型中發現,美股對亞股的外溢效果變得更為強烈,而亞股對美股的外溢效果則變得更不顯著;從槓桿效果中發現,各國股市在海嘯後波動皆呈現顯著的不對稱性。在金融海嘯後,隨著金大陸金融市場的開放,大陸股市與美股及台股的連動性呈現增加的趨勢。 因此,就算亞太國家在海嘯後經濟快速的復甦,仍無法取代美股的領先地位。這亦顯示,在金融海嘯後,亞洲投資人對於美股的波動,變得更為敏感與恐慌。
This study applies the VAR and EGARCH models to examine the causality between the U.S stock markets and various Asian Pacific Stock Indexes for the periods before and after the Financial Tsunami crisis. Empirical results indicate that the U.S. stock indexes lead the Asian Pacific Stock Indexes and the impact factor increases after the Financial Tsunami period. This work finds that, using the VAR model, there is a dramatic increase in the causality, impulsive response and explanation from the U.S. to the Asian stock markets after the Financial Tsunami period. This investigation finds that, while using the EGARCH model, there has been a strongly influential effect after the Financial Tsunami period from the U.S. stock market, spillover effects on Asian stock markets. Yet the Asian stock markets did not have a significant spillover effect on the U.S. stock markets. Regarding the leverage effect, this study also finds that all the stock markets demonstrated significant asymmetry after the Financial Tsunami period. Moreover, empirical result indicates that, along with an open attitude from China’s government for the past three years, the causality between China's stock market with the US’ or Taiwan’s stock market increases. In summary, even if the economy of Asian-Pacific countries quickly recovered from the Financial Tsunami crisis, the U.S. stock market is still acting as the leader in the global stock markets. This study also finds that the Asian investors are more sensitive to the U.S. stock markets after the Financial Tsunami period than before that period.