在經歷過亞洲金融風暴及全球金融風暴，亞洲股市的波動性產生了結構性改變是值得探討的議題，故本文主要運用ARCH家族模型探討亞洲股票市場在不同金融風暴與無重大風暴期間之波動特性。本研究以亞洲七個國家為主要研究對象，探討亞洲股票市場是否存在波動叢聚、波動不對稱性及長短期二種不同波動成分。隨後再納入遞延項流動變數，研究亞洲股票市場價量關係，驗證混合分配假說或資訊連續到達假說。根據本文實證結果發現：第一，亞洲股票市場的日報酬波動具有持續性與波動叢聚，且金融風暴對其波動叢聚的情形並無明顯貢獻性。第二，波動性的不對稱效果在無重大風暴時期較顯著，在全球金融風暴時期發生時則不明顯，在亞洲金融風暴期間則視其樣本國受風暴影響有所不同，受風暴影響愈大的國家，其波動的不對稱性愈不明顯。第三，亞洲國家的波動確實存有長短期二種不同的波動成分。最後，亞洲股價指數前期交易量係數皆為正數，顯示亞洲國家的交易量對條件報酬波動均存在正向關係，且在無重大風暴時期其前期交易量係數都達顯著水準，表示前期交易量資料對當期股價指數波動具有影響力，同時說明亞洲市場在無重大金融風暴時期面對資訊衝擊時，並無法立刻達到均衡，而是逐漸在調整下恢復均衡，因此本研究的實證結果支持亞洲股票市場在無重大金融風暴時期符合資訊連續到達假說。

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目 錄
第一章 緒 論 6
第一節 研究背景 6
第二節 研究動機 7
第三節 研究目的 8
第四節 章節架構 10
第二章 文獻探討 12
第一節 資產價格波動性的探討 12
第二節 資訊傳遞與資產價格波動關係 15
第三節 股票市場波動性的相關研究 17
第四節 文獻探討小結 18
第三章資料與研究方法 22
第一節 研究樣本 22
第二節 樣本檢定 27
第三節 時間序列分析模型 31
第四章 實證結果 35
第一節 亞洲股價指數波動性 35
第二節 資訊傳遞與股價指數波動 42
第五章 結論與建議 53
第一節　結論 53
第二節　建議 53
參考文獻 55

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