| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 97 === This paper investigates Contagion Effects in Stock Markets during the Oil price Shock period, selecting the samples of American stock market and four Asian country stock market, including Taiwan, Hong Kong, Japan, and Singapore. There are 1940 materials on daily stock price index, during January 1, 2000 to December 31, 2008. By using Zivot and Andrews Structural break test method, the common time point of structural changes that was found in May 17, 2004. To be aimed at the effects of American stock price return on the four countries of Asia, separately in the period before oil price shock, the whole period oil shock and the period after the oil shock, individually analyze the contagion transmit effect of the return. GARCH model empirical findings show that the estimated coefficient between Asian stock return and American stock return demonstrate a significant increase or decrease of the contagion effect .
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