本文使用DCC-TGARCH模型探討國際股市(六個成熟市場及七個亞洲新興市場)系統風險不對稱的現象，即負面消息衝擊時產生之系統性波動大於正面消息之衝擊。研究時間由2005年1月3日至2009年12月31日，並比較新世紀金融公司倒閉系統風險不對稱。研究結果發現：一、國際股市總風險皆有不對稱的現象。二、國際股市系統風險方面，未考慮金融海嘯模型前不對稱估計結果僅有日本未顯著為正，台灣負的顯著外其餘皆有系統風險不對稱情形；在考慮金融海嘯模型後，僅有法國存在系統風險不對稱。三、金融海嘯下，系統風險的不對稱性，並沒有顯著性的改變。四、成交量影響系統風險方面，本文將成交量加入系統風險估計，在未考慮金融海嘯模型時，結果發現英國、德國、加拿大、法國、印度皆顯著為正，表示這些國家成交量對於系統風險為正向顯著性影響；而在考慮金融海嘯模型後，僅有菲律賓系統風險深受成交量影響。 This paper studies the asymmetric systemic risk of international stock markets (Developed market and seven Asian emerging markets) by using the DCC-TGARCH model, i.e., negative return shocks exert a stronger influence on increasing the future systematic risk compared to positive return shocks. Using New Century Finance companies collapsed as cut-off point, this study compares asymmetric beta change before and after the financial crisis and starts from 2005 to 2009. The result indicates：1. International stock markets total risk are all asymmetric.2. Pre-testing the asymmetric estimate of financial tsunami model, there is only one country is not positive significant and except Taiwan is negative significant, others are asymmetric in system risk. Participate with financial crisis model, only France is in the asymmetric in system risk situation.3. We could not explain the financial crisis would be affected on system risk.4. The effect of Trading Volume in System risk. This research employ the trading volume into the system risk to estimate. Before using the financial tsunami model yet, we find England, Germany, Canada, France, and Egypt are positive significant, which means that these countries of system risk are suffer from the trading volume deeply. After participating the financial tsunami model, there is only one country affect on the trading volume, is Philippines.
