本論文使用Enders and Granger(1988)及Enders and Siklos(2001)的不對稱門檻共整合模型，探討美國股市的三大指數：道瓊工業指數、那斯達克指數以及標準普爾500指數與亞洲的台灣、香港、新加坡、南韓、日本以及上海等股市間不對稱的長期均衡關係，分析在美國的次級房貸事件發生後，美股與亞股之間共整合關係的變化，並以門檻誤差修正模型探討在次級房貸事件的前後，美股對亞股的短期傳遞效果，以及美股與亞股間長期均衡關係調整的不對稱性。本研究先進行傳統的相關性檢定，探討美股與亞股之間於次級房貸危機事件前後相關性之變化，發現於次級房貸危機事件之後，美股與亞股六個市場之間相關連動程度較事件之前顯著提高，此現象符合世界銀行對「傳染」(contagion)的最嚴格定義。本研究進一步實證發現：(一)採用EG及ES的不對稱門檻共整合檢定，發現在次級房貸事件後，美股三指數與亞股之間的共整合現象顯著提升，支持過去文獻所指出的國際股市間的傳染效應；(二)以門檻誤差修正模型(M-TECM)探討美股對亞股的不對稱Granger因果關係，發現在次貸事件後，美股對亞股的領先關係，以及雙方長期均衡關係調整的不對稱性也較事件前顯著提升。由此可知，美國次級房貸危機確實會提高美股對亞股傳遞的效率性，造成國際股市之間的傳染效應。因此在次級房貸事件爆發後，投資人難以再利用美股與亞股的國際股市投資組合來達到分散風險目的。 This thesis uses the Enders and Granger (1988) and Enders and Siklos (2001) asymmetric threshold co-integration model to investigate the variation of the long run asymmetric equilibrium relationships between the US and Asian stock markets caused by the subprime mortgage crisis. The stock indexes include DOW JONES, NASDAQ, and S&P 500 for the US and Taiwan, Hong Kong, Singapore, South Korea, Japan and Shanghai for the Asian countries. This study first applies traditional correlation test and found that the correlations between the US and Asian stock markets significantly increase. The further evidences by EG-ES methodologies are as follows: (1) asymmetric co-integration relationship between U.S. and Asian stock markets increases dramatically after the subprime mortgage crisis; (2) significant asymmetric Granger causality from US to Asian stock markets and the long run asymmetric adjustment relationships are further confirmed by the Momentum-Threshold Error Correction model. All the results support the “contagion effect” of international stock market. Therefore we assert that the event of subprime mortgage crisis enhances co-movement of international stock markets and hence the investors are hard to use the international portfolios of the US stock and Asian stocks to fulfill the diversification
