本文研究2008年次貸金融風暴時，美國對其他G5成員國之股價指數報酬相關結構的影響。研究的樣本期間為2003年至2011年，樣本採用MSCI股價指數之周報酬。模型架構則以是copula-GARCH模型兩階段構成，邊際模型先使用Hansen（1994） skewed Student t AR（1）-GARCH（1，1）模型來配飾股價指數周報酬，後採Patton（2006）之time-varying copula 模型衡量其相關性。經由分析copula之動態相關參數及動態尾部相關參數之時間序列行為，其中發現（1）在金融風暴前期，各國對美國之股價指數報酬相關性顯著上升，有蔓延（contagion）效果。（2）在金融風暴後期，除了日本對美國之外，各國對美國之股價指數產生相互依存（interdependence）的現象，且其尾部同漲同跌的機率也顯著上升。（3）由以上兩點發現，應用相關係數所組成的國際投資組合，處在類似次貸金融風暴之大空頭市場時，會因蔓延效果及相互依存的現象，使國際投資組合面臨之系統風險上升，造成投資組合多角化的效果不如預期。故建立國際投資組合時，更應該考慮金融資產報酬間非對稱（asymmetric）相關結構之因素。

In this paper, we study on the stock indexes return’s dependence structure of the U.S. versus other G5 members during the 2008 subprime mortgage financial crisis. The sample series are weekly returns of the MSCI stock price indexes from 2003 to 2011. The model structure is combined with marginal model and copula model. We model the marginal distributions of our returns using the univariate skewed Student t AR（1）-GARCH model of Hansen（1994）, and we model the time-varying copula of Patton（2006）to measure the dependence structure between stock indexes returns. By analyzing the time series behavior of the dynamic copula parameters, we find that,（1）the dependence of stock indexes returns increased significantly between U.S. and other G5 members in early subprime mortgage financial crisis, which means the dependence structure has contagion effect.（2）Except the dependence structure between U.S. and Japan, the other dependence structure between U.S. and other G5 members in later subprime mortgage financial crisis have the phenomenon of interdependence, and their average tail dependence increased significantly.（3）By the above, international portfolio constructed by correlation coefficient will failed to diversify the downside risk and the systematic risk will be increased in financial crisis period, which is similar with the 2008 subprime mortgage financial crisis. Therefore, the construction of an international portfolio must consider the asymmetric dependence structure between the stock indexes returns.

摘　要 ii
Abstract iii
目　錄 iv
圖　次 vi
表　次 vii
第壹章 緒論 1
第一節 研究背景動機 1
第二節 研究問題與目的 2
第貳章 文獻探討 3
第一節 Copula文獻探討 3
第二節 相關結構文獻探討 6
第參章 研究設計與方法 8
第一節 邊際分配模型 8
第二節 Copula 聯合分配模型 9
第三節 模型估計方法 12
第肆章 實證研究分析 13
第一節 資料說明與處理 13
第二節 基本資料分析 14
一、 敘述性統計分析 14
二、 相關性分析 15
三、 單根檢定 15
第三節 模型估計結果分析 16
一、 邊際模型估計結果分析 16
二、 Copula 聯合分配模型估計結果分析 19
第四節 蔓延效果及相互依存之實證與結果分析 25
第伍章 結論與建議 31
第一節 結論 31
第二節 後續研究建議 32
參考文獻 33
附　錄 I

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