本文嘗試應用波動外溢模型來探討東亞各國金融整合的程度，模型假設影響一國股市報酬率有三種衝擊，分別為自身國家衝擊、地區性衝擊和全球性衝擊。當一個區域內的金融整合程度提高時，地區性衝擊和全球性衝擊對區域內國家股市報酬率的解釋力比自身國家衝擊來的重要。本文實證結果發現，東亞地區性衝擊對東亞各國之外溢效果要顯著大於美國衝擊。此外，可得到以下四點結論:一、 就東亞衝擊的外溢效果而言，香港、韓國、新加坡、泰國和台灣可視為整合程度較高的區域，印尼、馬來西亞和菲律賓為整合程度較低的區域。二、 就美國衝擊的外溢效果而言，香港、韓國、新加坡為整合程度較高的區域，印尼、菲律賓、馬來西亞、泰國和台灣為整合程度較低的區域。三、 東亞區域內之金融市場在金融風暴後並未進一步整合，與以美國為代表的全球股市之連動程度亦已降低。四、 東亞各國股市之區域整合程度相較與全球(美國)股市整合程度明顯。 This thesis attempts to analyze the extent of current financial integration in East Asia (EA) with application of the volatility spillover model. It is assumed that there are three sources of shocks (local, regional, and global) on national stock markets. As these markets become more integrated, it can be expected that the importance of regional and/or global factors that explain equity returns for individual markets to increase relative to purely local shocks. This research distinguishes between the US (global) and EA (regional) effects from data of stock indices. Overall, the empirical findings show that the region-wide spillover effects on EA stock markets are significantly much higher than the US spillover effects. More specifically, (1) in terms of EA shocks, the more financially integrated region is composed of Hong Kong, Korea, Singapore, Thailand and Taiwan, and the relatively less integrated region consists of Indonesia, Malaysia and the Philippines; (2) in terms of US shocks, Hong Kong, Korea, and Singapore are more financially integrated than other EA economies; (3) after the 1997 Asian crisis, financial markets have not continued to be further integrated within the EA region, and seem to have been disconnected from world equity markets represented by the US markets; (4) regional integration in EA equity markets has proceeded in a more obvious way than integration with global (US) markets.
