| Summary: | 碩士 === 東海大學 === 財務金融學系碩士在職專班 === 104 === This research investigates whether there exist crisis contagion and spillover effects in the stock market of Developed countries (United States, Japan, Germany) and Developing Countries (Brazil, China, Russia). Research period was from march 3, 2008 to October 31, 2014, This paper take the GARCH model. focuses on the return of the stock market and the effects of volatility which is from VIX index、TED Spread、CDS、US10Y、USI。 In addition to the GARCH model to investigate the compensation of fluctuations and information transmission fluctuations, due to the pass-through effect do a more realistic description of the analysis, especially use Financial Tsunami .
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