近年來，國際金融市場變化劇烈，亞太地區最具代表性之金融市場，諸如亞洲四小龍及經濟迅速發展之中國，吸引全球投資客的青睞。何者能贏得趨勢領先指標首選為一重要議題。本文利用Johansen最大概似共整合檢定、向量自我迴歸(VAR)模型、向量誤差修正模型(VECM) 、Granger因果關係檢定、衝擊反應分析以及預測誤差變異數分解等實證方法探討以千禧年前後兩組資料期間之長短期動態傳遞效果的變動情形。 實證結果指出，1997~2000年在短期的互動關係上韓國扮演領先的角色。經實證結果在2000年以前，五個市場經Johansen共整法檢定發現無長期均衡關係，在投資時五個市場的避險效果明顯； 2000年後，五個市場存在長期均衡關係，因此在五個市場的避險效果不明顯而短期互動上香港的影響力有明顯提升，與韓國呈現雙向因果關係，顯示香港及韓國發現趨勢領先指標效果顯著，此結果對投資者及未來施政者具參考意義。 The movements of international financial markets, such as the four little dragons and China, have become more volatile, the rapid growth of these representative financial markets in the Asian-Pacific area has attracted more and more global investors. Therefore, it is a crucial issue to determine the lead-lag relationships among these financial markets. The purpose of this study is to employ various time series methodologies of Johansen-cointegration, Granger causality, impulse response function and variance decomposition to discuss and examine the long-term and short-term transmission among five Asian stock markets for two separated periods, before and after year 2000. The empirical results can be summarized as follows. Before the year 2000, the results from Granger causality test show that the Korea stock index is in the leading position among others. However, Hong-Kong stock market reveals its significant influence after year 2000 and show a bi-directional causal relationship with Korea stock market. Moreover, the five stock markets do not hold a long-term equilibrium relationship for the period 1997~2000. However, there exists a long-term equilibrium relationship among these five markets for the period 2001~2006. This indicates that investors can gain the benefit of the international diversification when investing in the five Asian stock markets before year 2000, whereas not in the period after year 2000.