近幾年來，全球金融市場一直在提倡全球化也慢慢朝自由化邁進，全球經濟 連動性也越來越高。對於投資者而言，不論投資在國內或國外的金融市場，都已 經不能單單只關心自己國家的資訊，或是市場走勢，而是與自己國家有密切相關 的市場，或是與自己國家金融往來甚密的國家，投資人都需要密切關注。並且從 事國際投資時，要更慎重考慮這些國家會帶來的衝擊或影響因素。本研究著重於 探討歐洲歐元區國家股匯市報酬間相關係數的變化，以及這些相關性是不是因為 一些外來的衝擊造成其相關性的結構發生改變。相較於以往對股匯市相關性研究 不同處是本文將各國股市報酬、匯市報酬與美國股市報酬以EGARCH模型以動態 條件相關係數(DCC)來研究其市場的相關程度。我們選擇荷蘭、希臘、奧地利、義 大利、比利時、法國、德國以及西班牙等國，國家股市收盤之週資料和歐元/美元 的週資料，轉換成週報酬率，樣本時間範圍為1993年1月到2011年12月內，對這八 國的金融市場研究其相關性分析。
研究結果發現，除了奧地利顯著性較低之外，我們使用DCC-EGARCH模型所 估計出來的相關係數變化明顯的顯著，相關係數會在一個範圍內來回跳動，相較 於傳統只用固定相關係數來研究，動態條件相關係數更能捕捉到金融市場之間的 相關性，也較不容易有忽略這些波動所造成的影響。如果投資人因為忽略這個影 響，有可能無法準確預測金融市場連動關係，或是整體經濟未來的走勢，這些都 可能使投資人暴露在風險中。另外從結構轉變中，我們發現2008年的金融海嘯，
造成荷蘭、希臘、義大利、比利時以及德國，股匯市之間發生結構性轉變，如果 是以往我們只用固定相關係數來看，這些都可能會讓我們忽略其事件對金融市場 的衝擊。由此我們可以說，使用動態相關係數會比固定相關係數來的好。最後對
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