本篇論文主要在討論消息衝擊對台灣市場是否存在波動不對稱，並同時考慮槓桿效果及規模效果對於波動之影響。本篇實證資料分別使用期貨及現貨市場資料以及同時使用產業及公司資料來做全面性分析。藉由實證分析可以得到以下之結論：(1)在單純效果下，波動不對稱性的現象皆不明顯。(2)在聯合效果下，波動不對稱只發生在當產業(投資組合)發生壞消息時。然而，當產業(投資組合)發生好消息時，好消息波動幅度大於壞消息波動幅度。(3)好消息之風險溢酬大於壞消息之風險溢酬。(4)大公司與市場波動較小公司為一致。

This study mainly investigates whether the existence of asymmetric volatility in the Taiwan market when news comes. In the meantime, leverage effect and firm-size effect are added to consider about volatility. Data is used on this empirical analysis not only from futures and stock markets but also from each industry and firms. As a consequence, this investigation provides the following general results. First, in pure effect, distinct asymmetric volatility does not occur whenever the results of industry, leverage effect, and firm size are analyzed. Second, all of the results indicate that in joint effect following portfolio (industry) good news, volatility of market good news exceeds volatility associated with market bad news. However, No matter what the outcome of industry, leverage effect, and firm size, volatility associated with market good news is less than that associated with market bad news in joint effect when portfolio (industry) has bad news. That is, asymmetric volatility only occurs when portfolio (industry) has bad news in joint effect. Third, Risk premium associated with bad news is less than that associated with good news. Moreover, large firms agree with market change better than small firms.

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