股票市場、債券市場與外匯市場同為現今國際化金融市場中三大市場，若能知曉股市、債市與匯市間的波動性連動關係，則能建立一個降低風險的多角化投資組合。本研究以台灣股價指數、十年期指標公債報價與台幣兌美元匯率日資料為研究對象，利用具有水準效果的對角化VECH模型(以DVECH-L表示)、具有水準效果的GJR模型(以GJR-L表示)與具有水準效果的不對稱對角化VECH模型(以ADVECH-L表示)，探討台灣股票市場、債券市場與外匯市場兩兩市場報酬間的水準效果與不對稱動態性，且評估DVECH-L模型、GJR-L模型與ADVECH-L模型在兩兩市場間，何者為最佳配適模型。本研究發現：
1.	與加入水準效果的對稱模型相比，加入水準效果的波動性不對稱模型，更能捕捉台灣股票市場、債券市場與外匯市場兩兩市場間動態不對稱關係，故ADVECH-L為較佳配適模型。
2.	股票市場與債券市場的當期報酬皆會受到彼此前一期報酬影響，外匯市場對股票市場具有領先效果，外匯市場與債券市場間報酬皆不會受到彼此落後期影響。
3.	在兩兩市場間，除了股價報酬條件變異數皆不具有水準效果外，其餘報酬變數的條件變異數與條件共變異數皆具有水準效果。
4.	股票市場、債券市場與外匯市場兩兩市場間的變異數與共變異數皆具有隨時間而變的波動性叢聚效果，且波動性效果皆會受前一期的影響。
5.	除了外匯市場以外，股票與債券市場面對好壞消息時，對本身報酬皆具有波動性不對稱效果。
6.	股票市場、債券市場與外匯市場兩兩市場間，同時面對壞消息或同時面對不同好壞消息衝擊時，報酬共變異數皆具有(跨)不對稱共變異數波動性效果。
7.	兩兩市場間皆具有動態條件相關。
　　本研究利用ADVECH-L模型捕捉水準效果與不對稱(共)變異數波動性效果的結果，可為投資人風險控管的參考。

The stock, bond and foreign exchange markets are three major financial markets of globalization. If investors know the volatility and correlation among these three kinds of financial markets, they could build a diversified investment portfolio with lower risk.
　　In this paper, we study level effect and asymmetric dynamic interactions between two markets of stock, bond and foreign exchange markets by using DVECH-L model, GJR-L model and ADVECH-L model. The empirical findings are summarized as follows: 
1.	ADVECH-L model is a better model to capture the asymmetry dynamic relationships between two of the stock, bond and foreign exchange markets. 
2.	The returns of stock and bond markets are affected by lagged returns of one another. The return of foreign exchange market leads the stock return. And the returns of foreign exchange and bond markets do not affected each other.
3.	The level effects of market returns in the conditional variances and covariances of two of three markets exist other than the conditional variances of stock returns. 
4.	The conditional variances and covariances between two any markets are clustered over time and affected by lagged volatility. 
5.	There are asymmetric volatility effects in market return after shocking by negative news of stock and bond market. 
6.	There are (cross-)asymmetric covariance effects in any two markets after shocking by negative news or good news. 
7.	There are dynamic conditional correlations in the returns of any two markets. 
　　The empirical results using the ADVECH-L model to capture the level effect and asymmetric (co)variances can be the references for the risk management of investors.

目錄	I
圖目錄	III
表目錄	IV
第一章  緒論	1
第一節  研究背景與動機	1
第二節  研究目的	7
第三節  研究架構	8
第四節  研究流程	9
第二章  相關文獻探討	10
第一節  兩市場間的報酬短期動態關係	10
第二節  兩市場好消息與壞消息對本身市場波動性不對稱的行為	14
第三節  兩市場不同好壞消息的不對稱共變異數效果	19
第四節  水準效果對波動性的影響	23
第三章  研究方法	29
第一節  研究樣本與資料來源	29
第二節  單根檢定	29
一、	定態與非定態	30
二、	單根檢定法	31
第三節  實證模型	34
一、	具有水準效果的不對稱對角化VECH模型設定	34
二、	模型參數的估計方法	37
第四章  實證分析	39
第一節  基本敘述統計量分析	39
第二節  單根檢定	42
第三節  台灣股票、債券與外匯市場的水準效果動態連動性實證分析	42
一、	股票市場與債券市場	42
二、	股票市場與外匯市場	47
三、	外匯市場與債券市場	51
第五章  結論與建議	56
第一節  結論	56
第二節  建議	60
參考文獻	61

圖目錄
圖1-1 台灣股價指數與公債報價關係圖	3
圖1-2 台灣股價指數與匯率關係圖	4
圖1-3 匯率與公債報價關係圖	5
圖1-4 研究流程圖	9

表目錄
表4-1 台灣股價指數、公債報價與匯率的基本敘述統計量	39
表4-2 樣本自我相關係數與偏自我相關係數	41
表4-3 變數單根檢定結果	43
表4-4 股票市場與債券市場具有水準效果的GARCH模型參數估計	44
表4-5 股票市場與外匯市場具有水準效果的GARCH模型參數估計	48
表4-6 外匯市場與債券市場具有水準效果的GARCH模型參數估計	52

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