過去文獻通常是以MSCI世界指數或美國的權益市場作為國際資產訂價模型中的系統風險，但是很少文獻是以中國大陸的權益市場作為系統風險。本篇論文檢驗已開發和亞洲新興經濟體來探討中國大陸的權益市場是否可以成為國際資產訂價模型中的系統風險。結果顯示「市場整合」有增加的趨勢；平均而言，中國大陸對於已開發國家和亞洲新興市場的影響力比以往更大，代表的確存在轉換關係。但由於隨著時間增加，美國對於已開發國家的影響力仍高於中國大陸。因此，特別是對於亞洲新興市場而言，中國大陸的權益市場可以成為國際資產訂價模型中的系統風險。

In early empirical work, MSCI world index or US equity market seem to be appropriate systematic risks for international asset pricing models. However, few literatures use China's equity market as a systematic risk so far. This paper examines whether China's equity market is a systematic risk for international asset pricing models for developed and Asian emerging economies. The results show an increasing trend of market integration. On average, it truly exists the transition which indicates that China has higher explanatory power for both developed countries and Asian emerging markets than before. However, US’ influence on developed counties is more than China's over time. Therefore, China’s equity market can be a systematic risk for international asset pricing models, especially for Asian emerging markets.

Adler, M. and B. Dumas, 1983, International Portfolio Selection and Corporation Finance: A Synthesis, Journal of Finance, Vol. 28, pp. 925-984.

Agmon, T., 1972, The Relations among Equity Markets: A Study of Share Price Comovements in the United States, United Kingdom, Germany and Japan, Journal of Finance, Vol. 27, pp. 839-855.

Arshanpalli, B. and J. Doukas, 1993, International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period, Journal of Banking and Finance, Vol. 17, pp. 193-203.

Bekaert, G. and C. R. Harvey, 1995, Time-Varying World Market Integration, Journal of Finance, Vol. 50, pp. 403-444.

Bekaert, G. and R. Hodrick, 1992, Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets, Journal of Finance, Vol. 47, pp. 467-510.

Berben, R. P. and W. J. Jansen, 2005, Comovement in International Equity Markets: A Sectoral View, Journal of International Money and Finance, Vol. 24, pp. 832-857.

Campbell, J. Y. and Y. Hamao, 1992, Predictable Bond and Stock Returns in the United States and Japan: A study of Long-term Capital Market Integration, Journal of Finance, Vol. 47, pp. 43-70.

Chan, K. C., B. E. Gup, and M. S. Pan, 1992, An Empirical Analysis of Stock Prices in Major Asian Markets and the United States, The Financial Review, Vol. 27, pp. 289-307.

Chan, K. C., G. A. Karolyi, and R. M. Stulz, 1992, Global Financial Markets and the Risk Premium on US equity, Journal of Financial Economics, Forthcoming.

Chan, K. S. and H. Tong, 1986, On Estimating Thresholds in Autoregressive Models, Journal of Time Series Analysis, Vol. 7, pp. 179-194.

Chang, E. C., J. M. Pinegar, and R. Ravichandran, 1991, Latent Variables Tests of the Integration of European Equity Markets, Working paper, University of Maryland.

Chang, A. K. H., S. L. Chou, and C. S. Wu, 2000, International Transmission of Stock Market Movements within the Great China Economic Area, Pan Pacific Management Review, Vol. 3, pp. 283-298.

Chen, N. F., R. Roll, and S. A. Ross, 1986, Economic Forces and the Stock Market, the Journal of Business, Vol. 59, pp. 383-404.

Chow, G. C. and Lawler C. C., 2003, A Time Series Analysis of Shanghai and New York Stock Price Indices, Annals of Economics and Finance, Vol. 4, pp.17-35.

Chung, P. J. and D. J. Liu, 1994, Common Stochastic Trends in Pacific Rim Stock Markets, Quarterly Review of Economics and Finance, Vol. 34, pp. 241-59.

Cumby, R. B. and J. D. Glen, 1990, Evaluating the Performance of International Mutual Funds, Journal of Finance, Vol. 45, pp. 497-522.

Darrat, A. and M. Zhong, 2002, Permanent and Transitory Driving Forces in the Asian-Pacific Stock Markets, The Financial Review, Vol. 37, pp. 35-52.

Dumas, B. and B. Solnik, 1995, The World Price of Foreign Exchange Risk, Journal of Finance, Vol. 50, pp. 445-479.

Dunis, C. L. and G. Shannon, 2005, Emerging markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit, Journal of Asset Management, Vol. 6, pp. 168-190.

Eun, C. S. and S. Shim, 1989, International Transmission of Stock Market Movements, Journal of Financial and Quantitative Analysis, Vol. 24, pp. 241-255.

Ferson, W. E. and C. R. Harvey, 1992, The Risk and Predictability of International Equity Returns, Working paper, University of Chicago.

Fischer, K. P. and A. P. Palasvirta, 1990, High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations, The Financial Review, Vol. 25, pp. 371-394.

French, K. R. and J. Poterba, 1991, Were Japanese Stock Prices Too High, Journal of Financial Economics, Vol. 29, pp. 337-364.

Geary, R., 1949, Determination of Linear Relations between Systematic Parts of Variables with Errors of Observation the Variances of which are Unknown, Econometrica, Vol. 17, pp. 30-58.

Ghosh, A., R. Saidi, and. K. H. Johnson, 1999, Who Moves the Asia-Pacific Stock Markets - Japan or US? Empirical Evidence Based on the Theory of Cointegration, The Financial Review, Vol. 34, pp. 159-170.

Gibbons, M. R., S. A. Ross, and J. Shanken, 1989, Testing the Efficiency of a Given Portfolio, Econometrica, Vol. 57, pp. 1121-1152.

Gibbons, M. R. and W. E. Ferson, 1985, Tests of Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio, Journal of Financial Economics, Vol. 14, pp. 217-236.

Granger, C. W. J. and T. Teräsvirta, 1993, Modelling Nonlinear Economic Relationships, Oxford University Press, Oxford.

Hansen, L. P., 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, Vol. 50, pp. 1029-1054.

Hansen, L. P. and R. J. Hodrick, 1983, Risk Averse Speculation in Forward Foreign Exchange Markets: An Econometric Analysis of Linear Models, Exchange Rates and International Macroeconomics, University of Chicago Press, Chicago.

Harvey, C. R., 1991, The World Price of Covariance Risk, Journal of Finance, Vol. 44, pp. 111-157.

Harvey, C. R., 1995, Predictable Risk and Returns in Emerging Markets, Review of Financial Studies, Vol. 8, pp. 773-816.

Harvey, C. R., B. Solnik, and G. Zhou, 1992, What Determines Expected International Asset Returns, Working paper, University of Duke.

Harvey, C. R. and G. Zhou, 1993, International Asset Pricing with Alternative Distributional Specifications, Journal of Empirical Finance, Vol. 1, pp. 107-131.

Hsu, S. D., 1995, Empirical Study of Asia Stock Market Cointegration, Security Market Development Quarterly, Vol. 7, pp. 33-57.

Huang, B. N., C. W. Yang, , and W. S. Hu, 2000, Causality and Cointegration of Stock Market among the United States, Japan, and the south China Growth Triangle, International Review of Financial Analysis, Vol. 9, pp. 281-297.

Joen, B. N. and G. M. Von Furstenberg, 1990, Growing International Co-movement in Stock Price Indexes, Quarterly Review of Economics and Finance, Vol. 30, pp. 15-30.

Johnson, R. and L. Soenen, 2002, Asian Economic Integration and Stock Market Comovement, Journal of Financial Research, Vol. 25, pp. 141-157.

Kasa, K., 1992, Common Stochastic Trends in International Stock Markets, Journal of Monetary Economics, Vol. 29, pp. 95-124.

Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, Vol. 47, pp. 13-37.

Longin, F. and B. Solnik, 1995, Is the Correlation in International Equity Returns Constant: 1960-1990, Journal of International Money and Finance, Vol. 14, pp. 3-26.

Morana, C. and A. Beltratti, 2006, Comovements in International Stock Markets, Journal of International Financial Markets, Institutions and Money, Forthcoming.

Ng, A., 2000, Volatility Spillover Effects from Japan and the US to the Pacific-Basin, Journal of International Money and Finance, Vol. 19, pp. 207-233.

Phylaktis, K. and F. Ravazzolo, 2002, Measuring Financial and Economic Integration with Equity Prices in Emerging Markets, Journal of International Money and Finance, Vol. 21, pp. 879-904.

ReiersØl, O., 1945, Confluence Analysis by Means of Instrumental Sets of Variables, Arkiv for Mathematik, Astronomi och Fysik.

Sharpe, W. F., 1964, Capital Assets Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, Vol. 19, pp. 425-442.

Shih, M. L., S. H. Hsiao, and F. S. Chen, 2007, The Association of Stock Index among the Market of China, US., and Japan, International Conference on Convergence Information Technology.

Teräsvirta, T., 1994, Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models, Journal of the American Statistical Association, Vol. 89, pp. 208-218.

Teräsvirta, T. and H. M. Anderson, 1992, Characterizing Nonlinearities in Business Cycles using Smooth Transition Autoregressive Models, Journal of Applied Econometrics, Vol. 7, pp. 119-136.

Tong, H., 1983, Threshold Model is Non-linear Time Series Analysis, Springer-Verlag, New York.

Yang, C. W., 1999, A Study of Stock Indices Co-movement - the Case of U.S., Japan, Hong Kong, and Taiwan, Asia Pacific Management Review, Vol. 4, pp. 97-107.

Zellner, A., 1962, An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, Journal of the American Statistical Association, Vol. 57, pp. 348-368.

Zhou, G., 1993, Asset Pricing Tests under Alternative Distributions, Journal of Finance, Vol. 48, pp. 1925-1942.