本研究探討2008至2020年之間金融危機事件影響金融市場指數之報酬與波動性是否存在關聯性。採用美國道瓊工業平均指數（DJI）、日本日經平均指數（NI225）、香港恆生指數（HSI）、台灣加權指數（TWII）、美元指數（DX）、黃金期貨（GC）、紐約輕原油指數（CL）的周數據資料做為總體經濟政策影響的變數，透過單根檢定、共整合檢定、向量自我迴歸、因果關係、衝擊反應函數，分析變數之間相互影響的關係。

在共整合檢定方面，可以發現美國金融市場指數對美元指數及日本、香港、台灣的金融市場指數報酬，存在共同的趨勢關係，若縮小範圍研究日本、香港、台灣之間，僅香港和台灣是存在共同的趨勢關係；美元指數、黃金期貨、紐約輕原油指數之間是具有共整合關係；美元指數長期對日本日經平均指數、香港恒生指數、台灣加權指數、黃金期貨、紐約輕原油指數之間是不具有共整合關係。

研究顯示，美國受到金融危機衝擊下，對全球金融市場指數、美元指數、商品指數有極大的影響力，無論從共整合、向量自我迴歸、因果關係、衝擊反應函數等檢定結果均有數據證實其波動性存在關聯，機構投資者對金融危機的衝擊，可以隨著波動和時間的收斂進行避險。

This study investigates whether there is a correlation between the financial crisis events from 2008 to 2020 affecting the return and volatility of financial market indexes. Weekly time series data spanning the period from 2008 to 2020 has been used. The variable data was taken from the Yahoo Finance website: Dow Jones Industrial Average (DJI), Nikkei 225 (NI225), Hang Seng Index (HSI), TSEC Weighted Index (TWII), US Dollar Index (DX), Gold Futures (GC), and the New York Crude Oil Index (CL). Regarding the Methodology, we choose to use the augmented dickey-fuller test, cointegration test, vector autoregressions model, Granger causality test, and impulse response function to research the mutual influence of the variable data.

The empirical results of the cointegration test findings showed that: The US financial market index has a common trend relationship with the US dollar index and the financial market indexes returns of Japan, Hong Kong and Taiwan. If we narrow the scope to study the relationship between Japan, Hong Kong, and Taiwan, only Hong Kong and Taiwan have a common trend relationship. There is a cointegration relationship among the US dollar index, gold futures, and the New York crude oil index. The US dollar index has no cointegration relationship with Nikkei 225, Hang Seng Index, TSEC Weighted Index, Gold Futures, and New York Crude Oil Index over the long time period under study.

To conclude, the United States has a great influence on the global financial market indexes, the US dollar index, and the commodity indexes during the financial crisis, which can be confirmed by the verification data results of the cointegration test, vector autoregressions model, Granger causality test, and the impulse response function. Institutional investors can use this data to hedge against the impact of the financial crisis as volatility and time converge.

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