美國於2007年7月發生次級房貸金融危機事件，其造成全球金融市場恐慌，且全球股票市場亦受到嚴重的衝擊。本文以此事件當作研究樣本，並利用EGARCH模型進行檢測，此金融危機是否會對國際股市造成波動外溢現象。其實證結果發現：次級房貸危機事件較容易對亞太地區的股市造成波動外溢的現象，其中以危機發生後三與六個月的外溢情形最為嚴重。此研究的結果可提供我國政府單位一個參考的依據，政府單位可以針對金融風暴所帶來的影響程度，提出因應措施，以有效減少被危機衝擊的時間與經濟損失。 The sub prime mortgages crises, which cause the panic in the global financial markets and the international stock markets, took place in July, 2007 for US. This study uses the EGARCH model to examine the volatility spillover effect of international stock market after sub- prime mortgages crises. The study shows that the volatility spillover effect is more significant in the stock market of Asian Pacific Areas after the US sub prime mortgages crises. Especially the volatility spillover effect is the most serious since the crises lasted 3-6 months. The findings present the crucial reference for the government. The government will be able to develop good policies in order to reduce the time of the crises impact and economic influence after US sub prime mortgages crises.
