本研究以2007年1月1日至 2009年12月31日的美國波動度指數VIX，及有編列波動度指數之國家(地區)：美國VIX、比利時、德國、荷蘭、日本、韓國、台灣、英國、歐洲為樣本，運用共整合檢定法，探討在美國次級房貸危機期間，各國波動度指數是否存在長期均衡關係；並運用雙變量GARCH模型來檢驗次級房貸事件期間各國波動度指數是否存在風險傳染蔓延效應與因果關係的檢定。
本研究結果發現，各國波動度指數存在領先落後關係，美國波動度指數相對各國波動度指數具有領先關係，長期亦存在均衡關係；其次，檢驗美國波動度指數與各國波動度指數相關性，在危機期間，美國波動度指數與比利時、德國、荷蘭、日本、韓國波動度指數之間相關係數有明顯增強，代表美國波動度指數與上述各國波動度指數相關性有提高，此結果顯示次級房貸危機存在風險傳染蔓延效應現象。

This thesis utilized the co-integration test to investigate whether long-run equilibrium relationships between volatility index in U.S and the volatility indexes in other countries (such as Belgium, Germany, Netherlands (Holland), Japan, South Korea, Taiwan, the United Kingdom and Europe) from 2007 to 2009. We also used the Bivariate GARCH model to examine the contagion effect among the indexes during the subprime mortgage crisis, and employed the Granger Causality Test to examine the lead-lag relationship.
In term of lead-lag relationship, the results of this thesis showed VIX had leading the volatility indexes of other countries. Moreover, there are long-run equilibrium relationships between volatility index in U.S and the volatility indexes in other countries. Finally, the correlation coefficient between VIX and the volatility indexes of Belgium, Germany, Netherlands, Japan or South Korea were significant increased during the subprime crisis, which meant VIX has strong connection with the volatility indexes of the above countries and the contagion effect existed during the subprime mortgage crisis.

目      錄
第一章  緒論	1
第一節  研究背景與動機	1
第二節  研究目的	4
第三節  研究架構	5
第四節  研究流程圖	6
第二章  文獻回顧	7
第一節  波動度指數介紹與相關研究文獻	7
第二節  共整合相關文獻	12
第三節  傳染與蔓延的相關文獻	15
第三章  研究方法	19
第一節  資料來源與變數定義	19
第二節  單根檢定	21
第三節  共整合檢定	26
第四節  雙變量GARCH模型	29
第四章  實證結果分析	31
第一節  基本統計量分析	31
第二節  單根檢定分析	37
第三節  共整合檢定分析	42
第四節  雙變量GARCH模型分析	44
第五章  結論	70
參  考  文  獻	72
一、國外文獻	72
二、國內文獻	77
表   目   錄
【表3-1-1】各國波動度指標變數定義表	20
【表4-1-1】各國波動度指數基本敘述統計量	32
【表4-1-2】各國波動度指數變動率基本敘述統計量	32
【表4-2-1】美國波動度指數單根檢定	37
【表4-2-2】比利時波動度指數單根檢定	38
【表4-2-3】德國波動度指數單根檢定	38
【表4-2-4】荷蘭波動度指數單根檢定	39
【表4-2-5】日本波動度指數單根檢定	39
【表4-2-6】韓國波動度指數單根檢定	40
【表4-2-7】台灣波動度指數單根檢定	40
【表4-2-8】英國波動度指數單根檢定	41
【表4-2-9】歐洲波動度指數單根檢定	41
【表4-3-1】美國波動度指數與其他各國波動度指數共整合檢定	43
【表4-4-1】美國與比利時波動度指數的雙變量GARCH模型估計之結果	46
【表4-4-2】美國與德國波動度指數雙變量GARCH模型估計結果	49
【表4-4-3】美國與荷蘭波動度指數雙變量GARCH模型估計結果	52
【表4-4-4】美國與日本波動度指數雙變量GARCH模型估計結果	55
【表4-4-5】美國與韓國波動度指數雙變量GARCH模型估計結果	58
【表4-4-6】美國與台灣波動度指數雙變量GARCH模型估計結果	60
【表4-4-7】美國與英國波動度指數雙變量GARCH模型估計結果	63
【表4-4-8】美國與歐洲波動度指數雙變量GARCH模型估計結果	66
【表4-4-9】美國與各國波動度指數結果	69
圖   目   錄
【圖1-1-1】論文架構圖	6
【圖4-1-1】美國波動度指數(實線)、比利時波動度指數(虛線)	33
【圖4-1-2】美國波動度指數(實線)、德國波動度指數(虛線)	33
【圖4-1-3】美國波動度指數(實線)、荷蘭波動度指數(虛線)	34
【圖4-1-4】美國波動度指數(實線)、日本波動度指數(虛線)	34
【圖4-1-5】美國波動度指數(實線)、韓國波動度指數(虛線)	35
【圖4-1-6】美國波動度指數(實線)、台灣波動度指數(虛線)	35
【圖4-1-7】美國波動度指數(實線)、英國波動度指數(虛線)	36
【圖4-1-8】美國波動度指數(實線)、歐洲波動度指數(虛線)	36

一、國外文獻
1.Anoruo, E., Ramchander, S. and Thiewes, H. (2007), Crisis, Contagion and Cross-Border Effects Evidence from the Latin American Closed-End Fund, Global Finance Journal, 17, 403-418.
2.Arestis, P., Caporale, G. and Cipollini, A. (2005), Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis, International Journal of Finance and Economics, 10(4), 359-367.
3.Arshanapalli, B., Doukas, J. and Lang, M.H.P. (1995), Pre and Post October 1987 Stock Market Linkages between U.S. and Asian Markets, Pacific Basin Finance Journal, 3, 57-74.
4.Bae, K.H., Karolyi, G.A. and Stulz, R.M. (2003), A New Approach to Measuring Financial Contagion, Review of Financial Studies, 16, 717-763.
5.Chiang, T.C., Jeon, B.N. and Li, H. (2007), Dynamic Correlation Analysis of Financial Contagion Evidence from Asian Markets, Journal of International Money and Finance, 26, 1206-1228.
6.Copeland, M., and Copeland, T.E. (1999), Market Timing: Style and Size Rotation Using the VIX, Financial Analysts Journal, 55, 73-81.
7.Dungey, M., Milunovich, G. and Thorp, S. (2009), Unobservable Shocks as Carriers of Contagion, Journal of Banking and Finance, In Press.
8.Engle, R. (2000), Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models, UCSD Discussion Paper.
9.Engle, R.F. and Granger, C.W.J. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
10.Fleming, J., Ostdiek, B. and Whaley, R.E. (1995), Predicting Stock Market Volatility: A New Measure, Journal of Futures Markets, 57(5), 265-302.
11.Forbes, K. and Rigobon, R. (2002), No Contagion, Only Interdependence: Measuring Stock Market Co-Movements, The Journal of Finance, 5, 2223-2261.
12.French, K.R., Schwert, G.W. and Stambaugh R.F (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.
13.Grambovas, C.A. (2003), Exchange Rate Volatility and Equity Markets, Eastern European Economics, 41, 24-48.
14.Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica, 37, 424-438.
15.Granger, C.W.J. and Newbold, P. (1974), Spurious Regressions, Econometrics, Journal of Econometrics, 2, 111─120.
16.Gropp, R. and Moerman, G. (2004), Measuring of Contagion in Bank’s Equity Prices, Journal of International Money and Finance, 23(3), 405-459.
17.Hon, M.T., Strauss, J. K. and Yong, S.K. (2007), Deconstructing the Nasdaq Bubble a Look at Contagion Across International Stock Markets, Journal of International Financial Markets, Institutions and Money, 17, 213-230.
18.HsuKu, Y.H. (2008), Student-T Distribution Based VAR-MGARCH: An Application of The DCC Model on International Portfolio Risk Management, Applied Economics, 40, 1685-1697.
19.Inclán, C. and Tiao, G.C. (1994), Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance , Journal of the American Statistical Association, 89, 913-923.
20.Iwatsubo, K. and Inagaki, K. (2007), Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms, Journal of Asian Economics, 18, 217-236.
21.Hoyoon, J. and Sul, W. (2002), The Asian Financial Crisis and The Co-Movement of Asian Stock Markets, Journal of Asian Economics 13, 94-104.
22.Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231-54.
23.Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inverence on Cointegration with Application to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-209.
24.Khalid, A.M. and Kawai, M. (2003), Was Financial Market Contagion the Source of Economic Crisis in Asia? Evidence Using a Multivariate VAR Model, Journal of Asian Economics, 14, 131-156
25.Kim, Y. and Ying, Y.H. (2007), An Empirical Assessment of Currency Devaluation in East Asian Countries, Journal of Internal Money and Finance, 26, 265-283. 
26.Larry C. (1999), Extreme Volatility Trading, Futures, Aug, 38.
27.Larry C. (2002), Timing Your S&P Trades with VIX, Futures, June, 46.
28.Lee, S.B., and Kim, K.J. (1993), Does the October 1987 Crash Strengthen the Co-Movements among National Stocks Markets?, Financial Economics, 3, 89-102.
29.Lee, Y.W. and Song Z. (2003), When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies, Working paper.
30.Li, H., Jeon, B.N., Cho, S.Y. and Chiang, T.C. (2008), The Impact of Sovereign Rating Changes and Financial Contagion on Stock Market Returns Evidence from Five Asian Countries, Global Finance Journal, 19, 46-55.
31.Liu, Y. and Pan, M. (1997), Mean and Volatility Spillover Effects in the U. S. and Pacific-Basin Stock Markets, Multinational Finance Journal, 1(1), 48-63
32.Longin, F. and Solnik, B. (1995), Is the Correlation in International Equity Returns Constant:1960–1990?, Journal of International Money and Finance, 14(1), 3-26
33.Low, C. (2000), The Fear And Exuberance from Implied Volatility of S&P100 Index Options, Working Paper.
34.Maggie M.C. and Copeland T.E. (1999), Market Timing: Style and Size Rotation Using the VIX, Financial Analysts Journal, 55, 73-81.
35.Mishra, A.K., Swain N. and Malhotra, D.K. (2007), Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence, International Journal of Business, 12(3), 343-359.
36.Phillip, P. and Perron, P. (1988),Testing for Unit Root in Time Series Regression, Biometrika, 75, 335-336
37.Said, S. and Dickey, D. ( 1984 ), Testing for Unit Roots iIn Autoregressive-Moving Average Model of Unknown Order, Biometrica, 71, 599-607.
38.Saleem, K. (2009), International Linkage of the Russian Market and The Russian Financial Crisis: A Multivariate GARCH Analysis, International Business and Finance, 23, 243-256.
39.Simon, D.P. and Wiggins III, R.A. (2001), S&P Futures Returns and Contrary Sentiment Indicators, Journal of Futures Markets, 21, 447-462.
40.Whaley, R.E. (1993), Derivatives on Market Volatility: Hedging Tools Long Overdue, Journal of Derivatives, 1, 71-84.
41.Whaley, R.E. (2000), The Investor Fear Gauge, Journal of Portfolio Management, 26, 12-17.
 
二、國內文獻
1.王冠閔、黃柏農 (2004)，台灣股、匯市與美國股市關聯性探討，《臺灣經濟預測與政策》，中央研究院經濟研究所，第三十四卷，第二期，31–72。
2.李岳龍 (1999)，金融風暴發生前後期間東亞各國股匯市間之連動關係，國立成功大學企業管理研究所碩士論文。
3.李承翰 (1998)，金融風暴期間東亞各國股匯市間之整合關係，國立成功大學企業管理研究所碩士論文。
4.李雨純 (2000)，亞洲金融風暴下之國際股市動態傳導效果，中國文化大學經濟學研究所碩士論文。
5.胡僑芸 (2003)，台指選擇權VIX指數之編制與交易策略分析，國立中山大學財務管理研究所碩士論文。
6.陳茂瑋 (1998)，亞洲金融危機之研究，國立臺灣大學經濟學研究所碩士論文。
7.彭德偉 (2001)，資本移動、匯率與貨幣政策-台灣之實證研究，私立東吳大學經濟研究所碩士論文。
8.蔡育迪 (2000)，亞洲金融風暴對台灣與東南亞各國股價指數及匯率間互動的影響，中國文化大學經濟學研究所碩士論文。