本研究以台灣金融市場為研究對象，探討2007年美國次貸危機前後，股票與債券兩大資本市場之關聯，本文分析各短期、中期、中長期以及長天期公債殖利率與加權股價指數走勢之相關聯性，希望能透過相關性指標數據，協助各專業金融投資人員，做為投資組合部位進出時點的決策依據之一。經取樣美國次貸風暴發生前後五年之台灣股、債市數據結果進行實證分析，可以歸納出四點結論：第一點，股價與債券殖利率序列均具有非定態時間序列特性，且根據共整合檢定結果，更加驗證了台灣股票與債券市場關係之緊密性。第二點，由誤差修正模型的估計結果發現，台灣股、債市在次貸風暴各階段都存在跨市場間短期動態調整的關係。第三點，為台灣股、債市在次貸風暴各階段都各別存在單向的領先、落後與雙向回饋的關係。最後，衝擊反應函數分析不管是美國次貸風暴前、中、後，唯一不變的是各變數對自己本身發生變化時的衝擊最為明顯。 This study mainly focuses on the stock and bond markets in Taiwan. Before and after the financial crisis of American subprime mortgage in 2007, we examine the dynamic interaction and co-integration between Taiwan Weighted Stock Index and government bonds with different maturities. The results can provide valuable suggestions for investors in portfolio decision. The data of the stock and bond markets span from 2002 to 2012. After a series of comparison and analysis, the empirical findings could be concluded as follows: firstly, stock index and bond yields all are no stationary. Secondly, from analysis of co-integration, we find that relationship between stock and bond markets is really close. Thirdly, according to the error correction model (ECM), not only the stock market, but also the bond market exist short-term cross markets’ dynamic adjustment. Fourthly, one-way leading, one-way lagging and two-way feedback relationship in stock and bond markets could be observed in periods before, during, and after the subprime mortgage crisis. Finally, shocks of Taiwan Weighted Stock Index can strongly influence government bonds with different maturities.
