本研究主要目的為探討股市風險與國家各面向治理指標之間的關係，除此之外本研究還進一步利用誤差修正模型(error correction model)建立各國股市指數與世界股市指數之間的長期關係，探討模型中的速度調整參數(speed of adjustment parameter)和國家治理指標之間的關係。實證結果發現政府的效能以及貪腐的管控度與各國股市的國際系統風險有顯著負向關係。另外，在新興市場中人民的言論與問責度和股市的系統風險有顯著正向關係，而在已開發國家中，法規品質對系統風險有顯著負向關係。在非系統性風險部分，政府效能及貪腐的管控度只在已開發國家中有顯著負向關係，而政治穩定度只在新興國家中有顯著負向關係。而在誤差修正模型延伸應用的結果顯示，法規品質與速度調整參數的絕對值呈現正向相關，意味著法規品質越高，各國股市指數回歸到與世界股市長期均衡關係的速度也就越快，因而較有效率，除此之外，新興國家中股市的發展程度也有相同的效果。

The object of this paper is to examine the relationship between equity market risk and several governance indicators. In addition, an applied error correction model is applied to build the long run relationship between individual stock indexes and the world stock index in order to analyze the relationship between the speed of adjustment parameter and the governance indicators. The empirical results show that the quality of government effectiveness and control of corruption have a significantly negative relation with systematic risk in the equity market. In addition, the voice and accountability in emerging markets has a positive effect on systematic risk, while regulatory quality in the developed market has a negative relationship with systematic risk. As for unsystematic risk, the significant negative relation of government effectiveness and control of corruption are found only in developed markets, while the negative relation of political stability is found only in emerging markets. Moreover, the extension analysis of the error correction model indicates that regulatory quality has a significant positive relation with the speed of adjustment parameter in both emerging and developed markets. This means that better regulatory quality results in more efficiency related to individual stock index adjustments of short run disequilibrium back to long run equilibrium with the world stock index. Also, the same effect can be found in the development of the stock market in emerging markets.

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