本研究採用Diebold(2008)所提出之spillover index來衡量全球股市及美洲、亞洲、歐洲三個區域市場的報酬與波動性的外溢效果程度。在波動性的衡量上，不同於過去相關研究，本文採用三個無分配假設的估計式，分別為realized volatility、range-based volatility 以及bipower variation。實證分析將二十個國家2003年1月到2007年4月逐筆交易資料，轉換為日報酬及日波動性。分析結果發現股市報酬的外溢程度高於波動性的外溢程度。歐洲市場是三個區域市場中報酬及波動性外溢程度最高者。此外，本研究採用移動樣本分析以追蹤報酬及波動性外溢程度隨時間經過的變動情形，結果發現股市報酬外溢程度隨時間經過呈現不斷上升的趨勢，股市波動性外溢程度同樣隨時間經過呈現上升趨勢。實證結果與近年來全球金融市場的高度整合趨勢一致。 In this study, we apply spillover index approach which proposed by Diebold (2008) to examine the extent of return and volatility spillovers in global stock market and regional stock market. We use three nonparametric methods to estimate volatility including realized volatility, range-based volatility, and bipower variation. In an analysis of twenty stock markets from January 2003 to April 2007, we find that the extent of return spillover is higher than volatility spillover. European market has the highest return and volatility spillovers among three regional markets. In particular, we track time variation of spillovers both in return and volatility by rolling-sample analysis. We find that return spillover in global stock market is continuous to increase. For time variation of volatility spillover also displays an increasing trend with some bursts. The results are consistent with increasing linkages among global financial markets.
