本論文主要研究中國概念股與兩岸三地股市間的連動情形,以及台灣與美國股市的關聯性。探討台灣證券交易所加權股價指數、紐約道瓊工業股價指數、NASDAQ指數、上海綜合股價指數、深圳綜合股價指數間各國股市之間的整合關係,藉以探討股市間是否具有投資風險分散效果。研究中採用相關性分析探討國際投資風險,使用從 2000 年 1 月 至 2015 年 10 月共十五年之資料,進行資料定態分析之單根檢定(Unit Root Test)、共整合測試(Cointegration test)及利用向量自我迴歸(VAR)模型、Granger因果檢定、來探討各國股市互動關係,以下將本研究實證分析結果加以彙整。實證結果發現,美國道瓊工業指數及美國S&P500指數走向影響台灣股市,台灣股市近年來走勢易隨著美國股市有所波動。
In this thesis, the researcher focused on studying the Chinese concept stocks and its corelation to stock markets of Taiwan and the US. This resarch discussed on the intergration relationship of national stock markets with data from Taiwan Stock Exchange Weighted Index, the Dow Jones industrial integration relations New York Stock Price Index, NASDAQ index, the Shanghai Composite Index, Shenzhen Composite Stock Price Index , in order to investigate whether the investments provide risk diversification effect between the stock markets. The researcher used Correlation Analysis to explore the international investment risk with economic data from January 2000 to October 2015 (Total fifteen years), and performed a Unit Root Test, Cointegration test. The researcher also used the Vector Autoregressive (VAR) model, Granger causality test to investigate the interaction between national stock markets. Empirical results showed that the US Dow Jones industrial average and the US S & P500 index did affect the Taiwanese stock market, and the Taiwanese stock market was easily adjusted in recent years according to the US stock market movements.