本研究的目的在於檢驗台灣股市與美國股市之間在美債降評後是否存在傳染效果，研究除了採用ARMAX-GARCH-Copula Type模型驗證兩市場報酬率之關聯結構；並進一步運用雙變量GARCH模型評估美股與台股變異數的波動性。 實證結果發現，全樣本及降評前，考量不對稱性的ARMAX-EGARCH模型配適是適當的，而降評後的資料，基本統計量呈常態分配，以對稱性的ARMAX-GARCH模型配適是適當的。而美國十年期債券殖利率對於美股報酬率以及美股前期報酬率對台股報酬率，兩者的影響皆是正向的；不同消息面對市場衝擊呈現不對稱性的影響。 此外，台股與美股在降評後的相關性顯著提高，意函有短期的傳染效果，由t檢定發現美股與台股的動態相關程度在降評前後有顯著差異，亦即，美股與台股報酬率在降評後具外溢效果，且由雙變量GARCH模型可得，降評後的變異數明顯高於降評前，意函傳染效果顯著存在，但與過去全球性金融危機較長的蔓延效果相比則顯得較為輕微。 The purpose of this study is to investigate whether a contagion effect exists between the Taiwan and US stock markets. In empirical study, we apply ARMAX-GARCH-Copula Type to check the correlation between the two markets, further to evaluate the volatility through Bivatiate GARCH model. The results show that the asymmetric ARMAX-EGARCH model is more suitable, both in full sample or before the US debt rating downgrade. However, the symmetric ARMAX-GARCH model is more appropriate for normal distribution data after the downgrade. The effect of the 10 year bond yield to US return rate and lag US return rate to Taiwan stock return rate are positive. It exhibits asymmetric results of different news to markets. In addition, there is a significant correlation between the Taiwan and US stock markets. It also implies a short-term contagion effect. The correlation of the two markets is significant before and during the US debt rating downgrading. It means that there is a spillover effect between the two markets. The volatility also increased after downgrading via bivariate GARCH model. It is different when compared with many global financial crises with a long contagion effect.
