現有文獻多發現中國在2005年之前與國際股市呈現區隔狀態，而美國對亞太地區股市則有最大的影響力。本研究發現在2008年全球金融危機期間過後，在中國實施刺激經濟方案之期間（2009/8-2011/2），美國股市對韓、台、港三地股市的影響力呈現衰退，反之中國股市對這些股市的影響力則有超越美股的跡象，可推論在此期間美國經濟仍然不振，而中國所實施的刺激經濟方案使中國經濟持續成長，對鄰近地區的進口需求持續提升，以至於其股市訊息對鄰近亞洲股市的影響力有所提升。但就金融危機期間之後較長的期間而論（2009/8/1-2012/5/31），可發現美股對日、韓二股市的影響力仍與金融危機期間之前相同甚至有提升，但對香港股市（在預測誤差變異數分解方面，尚包括台灣股市）的影響力則有下滑的傾向，可推論係因香港（或台灣）等大中華區的經濟體在金融危機過後對中國經貿的依賴度提升所致。 Most existing literature has found that China's stock market was segregated from most other countries before 2005, while the U.S. stock market had the greatest influence on the Asia-Pacific stock markets. In this paper, it is found that the influence of the U.S. stock market on Korean, Taiwan and Hong Kong stock markets was declining during the period of 2009/8 to 2011/2, wherein China implemented an economic stimulus program of 4 trillion yuan, while the influence of the China stock market on these markets exceeded that of the U.S. stock market probably owing to the fact that as the economy of China continued to grow and the import demand for these neighboring markets also rose during that period, the influence of the China stock market was also increasing. But when the influence of the U.S. and China markets was reexamined in a longer period, that is, 2009/8/1-2012/5/31, it is found that the influence of the U.S. stock market on Japanese and Korean stock markets remained the same or was even stronger than that before the global financial crisis, while its influence on Hong Kong (or Taiwan, in the result of forecast error variance decomposition) was declining, which might be due to the fact that Hong Kong or even Taiwan has more economic dependence on China after the global financial crisis.
