本研究針對中國大陸與其五大貿易夥伴之股票市場進行探討分析，分別採用美國道瓊工業股價指數(Dow Jones Price Index)、香港恆生股價指數 (Hang Seng Price Index)、南韓綜合股價指數(KOSPI Price Index)、日本東京日經225指數(NIKKEI Price Index) 及臺灣加權股價指數(TSE Price Index)，中國大陸股票市場則取樣中國大陸上海A股加權股價指數(Shanghai A Price Index) 及中國大陸深圳A股加權股價指數(Shenzhen A Price Index) 共七種股價指數做為研究樣本，分別進行單根檢定、共整合檢定、因果關係檢定、誤差修正模型、衝擊反應分析及預測變異數分解等實證分析。
從本研究的實證結果與過去學者所提出的理論相對照，可以發現本研究的結果支持McDonald (1973)和Solnik (1974)主張的弱勢區隔理論，因此在中國大陸股票市場，因為其仍有資本管制以及對外國投資人限制的投資障礙存在（國家因素），縱使現在由於其經貿活動快速增長，促使金融市場快速成長，但仍因為有種種的投資限制而與其重要貿易夥伴的股票市場之間的連動關係降低，從本研究的結論中可以得到證明，中國大陸股票市場會受到外國股票市場的影響，而中國大陸股票市場影響外國股票市場程度卻不高。
本研究縱使以與中國大陸經貿關係較密切的國家之股票市場進行分析，但仍然得到中國大陸股票市場與其經貿關係密切的股票市場連動性不足的實證結果，因此若中國大陸欲提升與國際股票市場的整合程度，仍應考慮放鬆其種種投資限制，如資本限制，外國投資人交易限制等，方可提高中國大陸市場與國際股票市場的整合程度，亦可吸引更多外國投資人及資金進入中國大陸金融市場，從而提高中國大陸金融市場的發展程度。

The goal of this study is to examine the linkage among stock markets of China and their five major trading partners. The sample indexes employed in this study including Dow Jones price index, Hang Seng price index, KOSPI index, NEKKEI 225 index, TSE index, Shanghai A share index and Shanzhen A share index. Furthermore, this study uses several tests to explore the relation between stock markets of China and their major trading partners, such as unit root test, cointegration test, causality test, error correction model, impulse response analysis and forecast error variance decomposition.
From the empirical results of this study, we find that this study supports the weakly segment theory of McDonald (1973) and Solnik (1974).  This implies that the linkages between Chinese stock market and foreign stock markets are weak even now the economic activity and financial market of China are growing rapidly. The major reason is that there still exist several investment barriers in China, reducing this linkage between Chinese stock and foreign stock markets.
In our opinion, if China wants to increase the integration with international financial markets, the authority of the China should first consider releasing the investment restrictions, such as capital restriction and investment barrier of foreign investors, to attract more international investors or capitals into the China stock markets and then increase the development degree of China stock market.

目  錄...................................................I
圖目錄...................................................III
表目錄...................................................IV
第一章 緒論..............................................1
第一節 研究背景..........................................1
第二節 研究動機..........................................2
第三節 研究目的..........................................4
第四節 研究流程..........................................5
第二章 理論與文獻探討....................................7
第一節 股票市場連動理論..................................7
第二節 國際股票市場連動之影響因素........................16
第三節 文獻探討..........................................19
第三章 研究方法..........................................29
第一節 單根檢定..........................................29
第二節 共整合檢定........................................36
第三節 向量自我迴歸模型..................................39
第四節 Granger因果檢定...................................41
第五節 衝擊反應分析......................................42
第六節 預測誤差變異數分解................................43
第四章 實證結果..........................................45
第一節 資料來源與處理....................................45
第二節 單根檢定..........................................49
第三節 非線性單根檢定....................................52
第四節 共整合檢定........................................56
第五節 非線性共整合檢定..................................58
第六節 Granger因果關係檢定...............................63
第七節 向量誤差修正模型..................................65
第八節 衝擊反應分析......................................70
第九節 預測誤差變異數分解................................78
第五章 結論與建議........................................86
第一節結論...............................................86
第二節 建議..............................................87
參考文獻.................................................89
圖目錄
圖1-1 研究流程圖.........................................6
圖4-1 中國大陸與其五大貿易夥伴之股票市場價格走勢圖.......47
圖4-2 其他國家對於中國大陸上海A股股價指數衝擊之反應圖....72
圖4-3 中國大陸上海A股股價指數對於其他國家衝擊之反應圖....73
圖4-4 其他國家對於中國大陸深圳A股股價指數衝擊之反應圖....76
圖4-5 中國大陸深圳A股股價指數對於其他國家衝擊之反應圖....77
表目錄
表1-1 中國大陸對五大貿易夥伴總額統計.....................4
表2-1 國際間股票市場關係之研究文獻.......................14
表2-2 國內相關文獻整理...................................23
表2-3 國外相關文獻整理...................................27
表4-1 中國大陸與其五大貿易夥伴股票市場價格之敘述統計量...49
表4-2 單根檢定 –水準值..................................51
表4-3 單根檢定 –一階差分................................51
表4-4 KSS非線性單根檢定(tNEG)............................53
表4-5 非線性Fourier單根檢定..............................54
表4-6 Johansen共整合檢定(中國大陸上海A股與五大貿易夥伴)..57
表4-7 Johansen共整合檢定(中國大陸深圳A股與五大貿易夥伴)..58
表4-8 Bierens無母數共整合檢定(中國大陸上海A股)...........61
表4-9 Bierens無母數共整合檢定(中國大陸深圳A股)...........62
表4-10Granger因果關係檢定(中國大陸上海A股與其五大貿易夥伴股價指數)..................................................64
表4-11Granger因果關係檢定(中國大陸深圳A股與其五大貿易夥伴股價指數)..................................................65
表4-12 誤差修正模型估計結果(中國大陸上海A股與其五大貿易夥伴股價指數)................................................68
表4-13 誤差修正模型估計結果(中國大陸深圳A股與其五大貿易夥伴股價指數)................................................69
表4-14 預測變異數分解(中國大陸上海A股與其五大貿易夥伴股價指數)......................................................79
表4-15 預測變異數分解(中國大陸深圳A股與其五大貿易夥伴股價指數)......................................................82

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9.陳建福、陳國芬 (2005)，「大陸A 股與香港H 股溢折價關係之實證研究」，東華大學國際經濟研究所碩士論文。
10.楊踐為、賴怡洵（1998），「美、日、香港與台灣四地股價指數連動關係之探討」，台灣土地金融季刊，35(2)，1-15。
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12.廖國源 (2002)，「台灣與美國股市動態關聯性之傳遞效果研究」，國立高雄第一科技大學財務管理所碩士論文。
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