各國股市之間存在著某種程度之連動性，國內不少人一早起床便是先去看昨天美國股市收盤情況，美國三大股市之ㄧ道瓊工業指數就為國人最熟悉。基於上述想法，本論文建構台灣加權股價指數(以下簡稱TWII)和美國道瓊工業指數(以下簡稱DJI)雙變量GARCH模型，並由模型中了解兩者相互關係。資料蒐集為2005年1月3日至2010年4月23日近五年TWII與DJI之日收盤價。這五年中，金融界發生了金融風暴。透過研究分析，卡方檢定了解到TWII並非為幾何布朗運動模式，並有別於傳統採用對數常態計算獲利機率，GARCH模擬求出到期日之指數落在獲利區之機率。DJI對TWII存在連動性，並且兩者波動性之持續均會維持一段較長時間，若有新資訊對於兩者市場所造成之衝擊，其衝擊消逝較慢。金融產品價格的波動程度也代表風險之大小，國內機構法人與一般投資者在交易時，不是只看報酬率大小，更要留意波動風險，並多方觀察各國間之連動性，俾使對於投資方面才能達到預期目標。

Dynamic relationship lies amongst stock markets in each country. In our country, quite a few people would get up early to watch US stock market closing status from last night. Amongst three largest stock markets in US, Dow Jones Industrial Average Index is most known by our people. As per above thought, this thesis is written based on constructing bivariate GARCH model of Taiwan Weighted Stock Index(abbreviated as TWII below) and Dow Jones Industrial Average Index(abbreviated as DJI below) and investigating relationships between both from this model. Information gathered for this research is based on closing indices of TWII and DJI in nearly five years from January 3rd 2005 to April 23rd 2010. In these five years, there had been financial crisies . Through research analysis, applying Chi-square test , it was discovered that TWII does not follow Geometric Brownian Motion Model and is also deviant from traditionally recognized lognormal model. GARCH simultation was used to calculate probability for due date index to fall within profit-making zone. Dynamic relationship lies betwen DJI to TWII. These two fluctuation relationship would continue for a longer time. If new information would cause impacts to both markets however these impacts would decease more slowly. Financial products' price fluctuation means risks. However investors should notice these fluctuation risks; as well as should observe dynamic relationship amongst each country from more perspectives in order that investment would achieve expected goals.

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