金磚四國BRICs在未來的半個世紀後，將有可能會取代現有的六大工業國的其中四國，成為未來的經濟強權，因此了解金磚四國股市與美國股市之間的關聯性，可以有助於我們預測未來世界的經濟發展，以提早做準備。本文經實證，我們發現在短期，美國道瓊工業指數對印度Sensex30指數及美國道瓊工業指數對俄羅斯RTS指數分別有顯著的影響。在長期中，我們可得到大陸上海綜合股價指數對美國道瓊工業指數及美國道瓊工業指數對印度Sensex30指數有領先關係。

BRICs may become four of the G6 and strong economics power in the near future. It can help us to predict the development of world economics by understanding there relations between BRICs and U.S. stock market. According to the evidence, we discovered, in the short run, Dow Jones index had obviously influence to Russia (RTS) and India (Sensex 30 index), however others are not. In the long run, we understand that Shangshi mixed stock index has lead relation to Dow Jones and Dow Jones has lead relation to Sensex 30.

目 錄
第一章 緒論..................................………………………………………................... 1
第一節 研究動機...........................................…………………………….......... 1
第二節 研究方法及目的.....................................…………………………….... 2
第三節 研究架構.............................................……………………………….... 3
第二章 文獻回顧................................................…………………………………......4
第一節 國外文獻探討..................................…………………………………... 4
第二節 國內文獻探討................................…………………………………....11
第三章 研究方法..........................................…………………………………......... 16
第一節 單根檢定....................………………………………........................... 16
第二節 門檻共整合檢定.................……………………….............................. 19
第三節 TAR、M-TAR模型.....…………………………...................................... 22
第四節 TECM門檻誤差修正模型……………………………….……………25
第四章 實證分析..............………………………………..........................................27
第一節 變數選取與資料來源..............…………………………..................... 27
第二節 單根檢定.....................………………………………......................... .30
第三節 門檻共整合檢定...................…………………………….................... 32
第四節 門檻誤差修正模型………..……......................................................... 36
第五章 結論與建議.........................................………………………………….......47
第一節 研究結論.........................………………………………...................... 47
第二節 研究建議...........................………………………….……................... 49
參考文獻......................................………………………………………...............….50




圖 表 目 錄
<圖1.2.1 研究步驟流程圖>………………………………………………………….….3
<表2.1.1 國外文獻簡表>………………………………………………….…….............7
<表2.2.1 國內文獻簡表>…………………………………………….….………….….13
<圖4.1.1 美國與金磚四國股價走勢圖>………………………………………………28
<表4.1.1 金磚四國股價對美國股價之敍述統計資料>………………………………29
<表4.2.2  PP、NP、KPSS單根檢定>…………………………………………….…..31
<表4.3.1之大陸與美國股價門檻共整合檢定>………………………………………..33
<表4.3.2之巴西與美國股價門檻共整合檢定>………………………………………..34
<表4.3.3之印度與美國股價門檻共整合檢定>………………………………………..34
<表4.3.4之俄羅斯與美國股價門檻共整合檢定>………………………………..……35
<表4.4.1 上海綜合股價指數與紐約道瓊工業股價指數之誤差修正模型之估計>…38
<表4.4.2 巴西Bovesp股價指數與紐約道瓊工業股價指數之誤差修正模型估計>....41
<表4.4.3 印度Sensex 30股價指數與紐約道瓊工業股價指數之誤差修正模型計>...43
<表4.4.4 俄羅斯RTS股價指數與紐約道瓊工業股價指數之誤差修正模型估計>....46

參考文獻
中文部分：
1、	李又剛、林志強（民78），中、美、英、日、港五國股市近期表現，臺北市銀月刊，第二十卷，第十一期，頁6-20。
2、林恩右（民80），台灣與國際股票市場價格變動關係之研究，中山大學企業管理研究所未出版碩士論文。
3、陳君達（民89），價格變動與國際股市波動相關性之研究，淡江
大學財務金融學系碩士論文。
4、張麗蕙（民78），台灣股價波動之體經濟因素分析，政治大學國際貿易研究所未出版碩士論文。
5、黃瓊葦（民89），亞太各國股市關連性與波動性探討，國立台北
大學企業管理學系碩士論文。
6、楊筆琇（民87），台灣電子股指數與美國股價指數互動關係之實
證研究，國立成功大學企業管理研究所碩士論文。
7、蔡玠施（民84），亞洲股市間動態波及效果的實證研究－GARCH
模型的應用，國立台灣大學財務金融學系碩士論文。
8、劉健欣（民88），台灣股市與美國股市關連性之實證研究，淡江
大學管理科學研究所碩士論文。

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