本研究以金磚五國各國的股價指數及歐債五國各國的股價指數，總共十國的資料為研究標的。使用2009年12月1日至2012年11月30日之日資料，共計590筆資料，並應用非線性模型架構，研究歐債五國之股價指數分別與金磚五國之股價指數的長短期因果關係。
    在研究方法上，採用Kapetanios et al.(2003)提出的KSS單根檢定法來測試資料是否為非線性的定態關係，接著，利用Enders and Granger(1998)的自我迴歸模型(TAR)及動差門檻自我迴歸模型(M-TAR)來進行門檻共整合的檢定，之後再利用Enders and Granger(1998)及Enders and Skilos(2001)的門檻誤差修正模型(TECM)，來捕捉歐債五國與金磚五國之非對稱因果關係；如資料為對稱模型時，則利用Enders and Granger(1998)傳統對稱誤差修正模型(ECM)分析實證結果。
    本文實證結果發現，在非線性KSS與線性單根檢定下，金磚五國與歐債五國的股價指數均屬於I(1)的時間數列。在門檻共整合模型檢定中，巴西、印度、中國、南非的門檻共整合檢定之最適模型皆為M-TART模型；其中，俄羅斯則為TART模型。依該模型檢定結果發現，除了俄羅斯為對稱門檻共整合關係外，其餘四國皆為不對稱門檻共整合關係。
    在門檻誤差修正模型為基礎下，討論短期因果關係發現，俄羅斯、印度、及中國對歐債五國存在單向互動關係。在長期關係中，巴西、南非對歐債五國在門檻值之下，具有領先-落後的因果關係；俄羅斯對歐債五國具有領先-落後的因果關係；印度及中國在門檻值之上及之下，對歐債五國具領先-落後的因果關係。歐債五國對巴西、俄羅斯與中國在門檻值之上及之下，具有領先-落後的因果關係；歐債五國對印度，在門檻值之上，具有領先-落後的因果關係，對南非則在門檻值之下，具有領先-落後的因果關係。

This paper empirically investigates the asymmetric causal relationship between PIIGS and BRICS respectively using stock prices of PIIGS and BRICS from December 2009 to November 2012. Our study employs threshold error-correction(TECM) studied by Enders and Siklos(2001). 
The empirical results suggest that for the appropriate model specifications, the applicable model for adjustment for the long-run equilibrium between the stock prices of PIIGS and BRICS are M-TART for the countries of Brazil, India, China, and South Africa when comparing it to the PIIGS. For Russia, TART is used instead to compare the stock prices of the PIIGS.
In addition, an asymmetric threshold cointgration relationship exists between the countries of Brazil, India, China, South Africa, and the PIIGS. This paper also finds that no short-run causal relationship exists between South Africa to PIIGS. However, in the long run there is a causal relationship between the BRICS and the PIIGS. This long-run causal relationship exists from PIIGS to Brazil, India, and South Africa.

中文摘要	II
英文摘要	III
第一章 緒論	- 1 -
第一節 研究動機	- 1 -
第二節 研究目的	- 5 -
第三節 研究架構	- 6 -
第四節 研究流程與步驟	- 7 -
第二章 文獻回顧	- 8 -
第一節 外溢效果與傳染效果	- 8 -
第二節 全球股市連動性相關論文	- 12 -
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	- 21 -
第三節 門檻誤差修正模型	- 25 -
第四章 實證結果與分析	- 27 -
第一節 資料來源及整理	- 27 -
第二節 敘述統計分析	- 33 -
第三節 單根檢定分析	- 34 -
第四節 門檻共整合檢定分析	- 37 -
第五節 門檻誤差修正模型與Granger因果關係分析	- 45 -
第五章 結論	- 58 -
參考文獻	- 61 -

表目錄
表4-1-1 股市資料來源及各國變數名稱............................................................. - 28 -
表4-1-2 2011年歐債五國9月至12月債務到期之金額................................. - 32 -
表4-2-1 金磚五國與歐債五國股價指數之敘述統計......................................... - 33 -
表4-3-1 KSS(2003)單根檢定.............................................................................. - 35 -
表4-3-2 ADF、PP、NP及KPSS單根檢定(僅具截距項) ............................... - 35 -
表4-3-3 ADF、PP、NP及KPSS單根檢定(具截距項及趨勢項) ................... - 36 -
表4-3-4 ADF及PP單根檢定(無截距項及趨勢項).......................................... - 36 -
表4-4-1 巴西與歐債五國股價指數之門檻共整合檢定..................................... - 37 -
表4-4-2 俄羅斯與歐債五國股價指數之門檻共整合檢定................................. - 39 -
表4-4-3 印度與歐債五國股價指數之門檻共整合檢定..................................... - 40 -
表4-4-4 中國與歐債五國股價指數之門檻共整合檢定..................................... - 42 -
表4-4-5 南非與歐債五國股價指數之門檻共整合檢定..................................... - 44 -
表4-5-1 巴西股價指數與歐債五國股價指數之門檻誤差修正模型................. - 45 -
表4-5-2 俄羅斯股價指數與歐債五國股價指數之誤差修正模型..................... - 49 -
表4-5-3 印度股價指數與歐債五國股價指數之門檻誤差修正模型................. - 50 -
表4-5-4 中國股價指數與歐債五國股價指數之門檻誤差修正模型................. - 54 -
表4-5-5 南非股價指數與歐債五國股價指數之門檻誤差修正模型................. - 54 -
表4-5-6 金磚五國與歐債國家長短期因果關係統整表..................................... - 57 -
圖目錄
圖1-1-1 2010年9月之GDP負債比.................................................................... - 3 -
圖1-4-1 研究架構圖............................................................................................... - 7 -
圖4-1-1 巴西與歐債五國之股價指數趨勢圖..................................................... - 29 -
圖4-1-2 俄羅斯與歐債五國之股價指數趨勢圖................................................. - 30 -
圖4-1-3 印度與歐債五國之股價指數趨勢圖..................................................... - 30 -
圖4-1-4 中國與歐債五國之股價指數趨勢圖..................................................... - 31 -
圖4-1-5 南非與歐債五國之股價指數趨勢圖..................................................... - 31 -

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