故本研究得以下四項結論：1.三大新興市場長期呈現整合趨勢；2.美股對三大新興市場股市仍具有一定影響力；3.世界因子對三大新興市場影響並不明顯；4.新興亞洲市場的崛起。 The subprime lending crisis in USA arouses my interests to probe into the stock market potentiality in other emerging markets. The focus of this research is on Emerging Asia、Emerging Eastern Europe and Emerging Latin America. In this research, the daily data is used over the period January 1st 2007 through December 31st 2008 to analyze the relationship of indexes among the three emerging markets, USA and the world. The variable of the three emerging markets adopts MSCI Emerging Market Series Index, the variable of world index MSCI World Index, and the variable of USA stock price S&P 500 Index.
This research adopts VECM (Vector Error Correction Model). Firstly through cointegration test, the indexes of the three emerging markets, USA, and the world tend to be in equilibrium in the long term but not so in the short term. Then with VECM, the findings are that USA stock returns have the greatest positive effect on all indexes while the effect of world index returns on emerging markets is not significant; on the contrary, the index returns of Emerging Asia have negative effect on almost all index returns and th lag-time 2-3 weeks.
The conclusion of this research: 1. The three emerging markets tends to be convergent in the long term; 2.USA stock price still influences the three emerging markets greatly; 3.The impact of world factor on the three emerging markets is not significant; 4. Emerging Asia market is on the rise.