本研究期間分為風暴前後兩期，運用共整合檢定、因果關係、衝擊反應函數、變異數分解等模型，針對G7工業國家以及亞洲區域國家等兩大經濟體系股市每日收盤加權股價指數為研究對象，探討國際股市長短期動態傳導效果。研究發現，G7工業國家風暴前不具長期穩定均衡關係，風暴後即呈現長期共整關係，亞洲區域國家股市則相反，因此就長期觀點而言，風暴前國際股市投資者應將資金著重於G7工業國家股市可提高分散投資組合風險的利益，風暴後則應將資金集中於亞洲區域股市以達到投資組合利益。受亞洲金融風暴的影響，國際股市短期間的互動關係均有明顯提升的趨勢，G7工業國家的短期互動程度更大於亞洲區域國家股市，因此建議短期國際股市投資者處於不安定之風暴時期時，資金之運作，應更緊密觀察國際股市之互動，以期達到低風險高報酬的投資組合利益。 This paper, by employing various time series models, tests for theinfluence of the Asian financial crisis (AFC hereafter) on the dynamicrelationship among international stock markets. The daily closing dataare collected from fourteen countries which constitute two regioneconomic systems, known as G-7 and Asian-Pacific. The finding is thatthe long-run relationship among G-7 countries exists for post-AFC, butnot pre-AFC. On the contrary, this long-run relationship is only foundbefore AFC for Asian-Pacific countries. This suggests that, for thelong-run diversification, the portfolio should be invested in G-7before crisis and Asian Pacific after crisis. Moreover, theGranger-causality, impulse response, and variance decomposition allfind that the short-run dynamic relationships for both economicregions increase through the AFC. Thus, we suggest the internationalinvestors to trace the dynamic transmission of international stockmarkets closer after the crisis in order to benefit from a portfoliowith higher return but lower risk.
