摘要
2007年初美國發生次級房貸大量違約, 陸續有銀行倒閉, 進而撼
動整個美國與歐洲股市。一向與美國有密切貿易關係的台灣,在此事
件中到底受到多大的影響? 本文利用DCC模型探討次貸風暴前後,台
美股價間的關係是否有發生顯著的變化? 實證結果發現: 台灣與美國
的動態相關係數在次級房貸之後, 反而變小, 可見台灣的股市並未受
到很大的衝擊, 而亞洲地區的大多數國家也都與台灣相似,與美國的
動態相關係數變小,可見亞洲地區在次貸風暴中扮演著避風港的角色。

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