本研究旨在探討於1997年7月至2009年10月間，台灣大盤指數跟美國那斯達克指數間在波動率突然發生變動時，對報酬率的外溢效果跟效率性。主要以時間序列之方法進行分析，特別是─向量自我迴歸模型 (VAR)跟 ICSS演算法做實證分析。實證分析的結果如下：
1. 由 ICSS演算法偵測個別市場波動率突然變動的發生時點，大多與個別國家的政治、經濟及社會環境有關，除非是全球性事件才會有相近的時點。
2. 在結構轉換點發生之後，台灣股票市場的效率性有提高的現象，但美國那斯達克市場的效率性跟發生結構轉換點之前變化並不顯著。
3. 隨著時間的演進，美國跟台灣大盤間報酬率的相互影響關係有增加之趨勢。

In this thesis, we investigate the market efficiency and the spillover effect caused by the structural breaks occurring in TAIEX and NASDAQ between July, 1997 and October, 2009. The methodology we use in this research is the time series approach, in particular, the VAR model and the ICSS algorithm. Our main findings from this empirical study are summarized as follows. Firstly, most of the volatility shift time points detected by the ICSS algorithm are connected with local economy and policy, while just a few of them are related to global environment. Secondly, the market efficiency of TAIEX is found to increase after the volatility shift points, but in contrast the market efficiency of NASDAQ tends to remain at the same level. Finally, the interrelationship between TAIEX and NASDAQ has shown a gradually increasing trend during the time interval considered in this study.

一、中文文獻
1. 王冠閔、吳書慧 (民95)：「台灣股、匯市與美國股市傳導機制之實證分析」， 運籌研究集刊，第十期，頁1-15。
2. 徐清俊、吳明桓 (民92)：「美國、日本與台灣股票市場動態關係」，遠東學報的20卷，第二期，頁265-281。
3. 廖珮真 (民82)：「美、日、港、新、台五國股市報酬率多元時間序列關連性之研究」，台灣大學商學研究所，未出版碩士論文。
4. 詹世煌、許溪南、謝宗祐 (民92)：「股價波動性之影響因素」，風險管理學報，第五卷，第二期，頁167-193。
5. 陳旭昇 (2007),《時間序列分析》,台北市：東華書局。
6. 楊奕農 (2009),《時間序列分析二版》,台北市：雙葉書局。
二、英文文獻
1. Adler, M. and Dumas, B., 1983, “International Portfolio Choice and Corporation Finance: A Synthesis”, Journal of Finance, 38(3), 925-984.
2. Aggarwal, R., Inclan, C. and Leal, R., 1999, “Volatility in Emerging Stock Markets”, Journal of Financial and Quantitative Analysis, 34(1), 33-55.
3. Baillie, R. T., Booth, G. G., Tse, Y. and Zabotina, T., 2002, “Price Discovery and Common Factor Models”, Journal of Financial Markets, 5(3), 309-321.
4. Bernanke, B., 1986, “Alternative Explanations of the Money-income Correlation”, Carnegie-Rochester Conference Series on Public Policy, North-Holland,
Amsterdam.
5. Black, F., 1976, “Studies of Stock, Price Volatility Changes”, Proceedings of the American Statistical Association: Business and Economic Statistics Section,
177-181.
6. Bouchaud, J. P., Matacz, A. and Potters, M., 2001, “Leverage Effect in Financial Markets: The Retarded Volatility Model”, Physical Review Letters, 87,
228701-228704.
7. Chung, P. J. and Liu, D. J., 1994, “Common Stochastic Trends in Pacific Rim Stock Markets”, Quarterly Review of Economics and Finance, 34(3), 241-259.
8. De Medeiros, O. R. and Van Doornik, B. F. N., 2006, “The Empirical Relationship between Stock Returns, Return Volatility and Trading Volume in the
Brazilian Stock Market”, Working Paper.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=897340
9. Dickey, D. A. and Fuller, W. A., 1979, “Distribution of the Estimators for Autoregressive Times Series with a Unit Root”, Journal of the American
Statistical Association, 74, 427-431.
10. Dickey, D. A. and Fuller, W. A., 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
11. Edwads, F. R., 1988, “Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures”, Journal of Futures Markets, 8(4), 421-440.
12. Engle, R. F., 1982, “Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation”, Econometrica, 50(4),
987-1007.
13. Engle, R. F., Gallo, G. and Velucchi, M., 2008, “A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets”, Working Paper.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1354523
14. Eun, C. S. and Shim, S., 1989, “International Transmission of Stock market Movements”, Journal of Financial and Quantitative Analysis, 24(2), 241-256.
15. Figlewski, S. and Wang, X., 2008, “Is the Leverage Effect a Leverage Effect”, Working Paper.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=256109
16. Granger, C. W. J., 1969, “Investigating Causal Relations by Econometric Models and Cross-Spectral”, Econometrica, 37, 424-438.
17. Granger, C. W. J. and Newbold, P., 1974, “Experience with Forecasting Univariate Time Series and the Combination of Forecasts”, Journal of the Royal
Statistical Society. Series A, General, 137(2), 131-165.
18. Gelos, G. and Sahay, R., 2000, “Financial Market Spillovers in Transition Economies”, Economics of Transition, 9(1), 53-86.
19. Geske, R., 1979, “A Note on An Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends”, Journal of Financial
Economics, 7(4), 375-380.
20. Grubel, H. G., 1968, “International Diversified Portfolio: Welfare Gains and Capital Flows”, American Economic Review, 58, 1299-1314.
21. Guirguis, H. S., Giannikos, C. I. and Garcia, L. G., 2007, “Price and Volatility Spillovers between Large and Small Cities: A Study of the Spanish Market”,
Journal of Real Estate Portfolio Management, 13(4), 311-316.
22. Hamao,Y., Masulis, R.W. and Ng, V., 1990,. “Correlations in Price Changes and Volatility across International Stock Markets”, Review of Financial Studies, 3(2),
281-307.
23. Hansen, B. E., 2001, “The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity”, Journal of Economic Perspectives, 15(4),
117-128.
24. Haugen, R. A., Talmor, E. and Torous, W. N., 1991, “The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns”,
Journal of Finance, 46(3), 985-1008.
25. Huang, B. N., Yang, C. W. and Hu, W. S., 2000, “Causality and Cointegration of Stock Markets among the United States, Japan and the South China Growth
Triangle”, International Review of Financial Analysis, 9(3), 281-297.
26. Inclan, C. and Tiao, G., 1994, “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance”, Journal of the American
Statistical Association, 89, 913-923.
27. Lehmann, B. N., 2002, “Some Desiderata for the Measurement of Price Discovery across Markets”, Journal of Financial Markets, 5(3), 259-276.
28. Lessard, D. R., 1974, “World, National and Industry Factors in Equity Returns”, Journal of Finance, 29, 379-391.
29. Lin, W. L., Engle, R. F. and Ito, T., 1994, “Do Bulls and Bears Move across Borders?”, Review of Financial Studies, 7(3), 507-538.
30. Linter, J., 1965, “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and
Statistics, 47(1), 13-37.
31. Longin, F. and Solnik, B., 2001, “Extreme Correlation of International Equity Markets”, Journal of Finance, 56(2), 649-676.
32. Macbeth and Merville, 1980, “Tests of the Black-Scholes and Cox Call Option Valution Model”, Journal of finance, 35(2), 285-301.
33. Markowitz, H. M., 1952, “Portfolio Selection”, Journal of Finance, 7, 71-91.
34. Morales, L. and Andreosso, B., 2009, “Volatility Analysis of Precious Metals Returns and Oil Returns: An ICSS Approach”, Working Paper.
http://arrow.dit.ie/cgi/viewcontent.cgi?article=1008&context=buschaccon
35. Nelson, C. R. and Plosser, C. R., 1982, “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications”, Journal of
Monetary Economics, 10(2), 139-162.
36. Ratanapakorn, O. and Sharma, S. C., 2002, “Interrelationships among Regional Stock Indices”, Review of Financial Economics, 11(2), 91-108.
37. Schreiber, P. S. and Schwartz, R. A., 1986, “Price Discovery in Securities Markets”, Journal of Portfolio Management, 12(4), 43-48.
38. Sharpe, W., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Condition of Risk”, Journal of Finance, 19(3), 425-442.
39. Siklos, P. L. and Ng, P., 2002, “Integration among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts”, Pacific
Economic Review, 6(1), 89-110.
40. Sims, C. A., 1980, “Macroeconomics and Reality”, Econometrica, 48(1), 1-48.
41. Sims, C. A., 1986, “Are Forecasting Models Usable for Policy Analysis?”, Quarterly Review, Federal Reserve Bank of Minneapolis, 10, 2-16.
42. Sunder, S., 1980, “Stationarity of Market Risk: Random Coefficients Test for Individual Stocks”, Journal of Finance, 35(4), 883-896.
43. Wang, P. and Moore, T., 2009, “Sudden Changes in Volatility: The Case of Five Central European Stock Markets”, Journal of International Financial Markets,
Institutions and Money, 19(1), 33-46.
44. Yang, J., Hsiao, C., Qi, L. and Wang, Z., 2006, “The Emerging Market Crisis and Stock Market Linkages: Further Evidence”, Journal of Applied Econometrics
21(6), 727-744.
45. Yan, B. and Zivot, E., 2007, “The Dynamics of Price Discovery”, Working Paper. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=617161