本研究選擇以美國長短期公債殖利率利差與其2大債權國-中國和日本股市為研究對象，探討當美國長短期公債殖利率利差發生變化時對中國和日本股市之影響，並藉以了解目前世界前三大經濟體，在股、匯、債市關係越來越密切的情況下，美國長短期公債殖利率利差之變化除可用以觀察美國自身景氣外，是否也可成為跨國股市投資的重要訊號。
經由模型實證分析歸納如下:
(1)無論次貸風暴前後，美國長短期公債殖利率利差與上海A股都無顯著關聯。
(2)無論次貸風暴前後，美國長短期公債殖利率利差與日本東證股市都無顯著關聯。
(3)日本市場無論是次貸風暴前或後對衝擊的反應時間都很短；中國市場無論是次貸風暴前或後對衝擊的反應時間都比較長；另外，無論是金融風暴前或後，東證股價指數和上海A股遇衝擊都在第一期即反應完畢，顯示股票市場的效率性。

This study examines the relationship between the long-term and short-term bond yield spreads in the United States and its two largest creditors - Chinese and Japanese stock index as the research target, and it investigates the impact of the correlation between Chinese and Japanese stock market, when the U.S. bond yield spreads change. Nowadays, the world’s top three economies in the stock market, the foreign exchange market and the bond market have more and more close relationship, and the study wants to know that besides observing the U.S. economy, if the U.S. bond yield spreads can be important signals of transnational stock market investments.
Empirical analysis is summarized as follow:
(1)No matter whether the time is before or after the U.S. subprime mortgage crisis, there is no significant association between the U.S. bond yield spreads and Shanghai A stock index.
(2)No matter whether the time is before or after the U.S. subprime mortgage crisis, there is no significant association between the U.S. bond yield spreads and Japan TOPIX stock index.
(3)No matter whether the time is before or after the U.S subprime mortgage crisis, the Japanese economic variables have the short-term reaction, and the Chinese economic variables have the long-term response; in addition, No matter whether the time is before or after the subprime mortgage crisis, the TOPIX stock index and Shanghai A stock index both have the complete reaction in the first period. It appeals that the stock market is efficient.

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