台灣地區對中國大陸的投資比重佔了我國對外投資總額的半數以上，故中國概念股的數量與產業項目與日俱增。過去的研究大多是討論各產業類股與整體台股指數，或台股與大陸股市間的關聯性，而本文首度將中概股的股價指數，以類股的概念研究其與大盤指數的關係。 本文以EGARCH模型解釋台股指數與中概股指數報酬序列之間的波動異質性與關聯性，研究期間自2001年至2005年，共1,238筆日資料。研究結果顯示，台股指數報酬會受到本身前期與前期中概股指數報酬影響。而台股指數的報酬波動，也同時受到自身前期的報酬波動與中概股指數的報酬波動影響，亦即兩種指數報酬之間有明顯的波動外溢效果，顯示當股市中訊息發生所帶來的衝擊，中概股指數的反應會間接影響台股指數的報酬率。 Most researches on Taiwan's stock market mainly focus on the relationship with individual industry or with mainland China. This study, however, attempts to view the China concept stocks as a specified industry category and employs the EGARCH(1,1) model to discover the spill-over effect between China-concept stocks and the whole market. The study period is from 2001 to 2005 with 1,238 daily stock prices. The results suggest that the return and the variance of return of the market are influenced by previous returns and the variance of return of both China-concept stocks and the market itself. In other words, there is a significant spill-over effect between two return indexes. This implies that the return of total Taiwan stock index will be indirectly affected as a new information arrived at the China-concept stocks.
