本文以1998年1月5至2006年6月30日之日圓兌美元匯率、日本與美國股價指數為資料，探討匯率、日本股價報酬與美國股價報酬三者之間的關聯性與其模型的建構，且使用厚尾部的Student’s t分配來分析其模型。實證結果顯示， 匯率、日本股價報酬與美國股價報酬三個市場之相互影響可建構在三變量GJR-GARCH(1，2)-M模式上來分析，且匯率與美國股價報酬兩市場是具有不對稱的效果。實證結果也顯示，美國與日本股票市場報酬之間存在正向的關係，即兩個股票市場報酬的波動將同步相互影響，且日本股票市場報酬的波動會受到美國前一期股票市場報酬波動的影響；匯率與日本股票市場報酬之間存在負向的關係，即兩個市場的波動是反向的相互影響，且日本股票市場報酬的波動會受到匯率前一期匯率波動的影響；匯率與美國股票市場報酬之間也存在負向的關係，即兩個市場的波動是呈反向的相互影響，且匯率未受日本與美國股價市場報酬波動之落後期數的影響。此外，在美國股市為壞消息的情況下，美國的股票市場之變異風險是會增加；在日本匯市為壞消息的情況下，日本的匯率市場之變異風險也是會增加。這些證據可建議如股市投資人或國際基金經理人，在投資股票或股票市場評估之決策之前，需考慮匯率與股價報酬之波動的風險與其關聯性。 This paper studies the association and the model construction of exchange rate、Japanese and U.S. stock markets, the data period is from January 1998 to June 2006. In this paper also uses the heavy-tailed Student’s t distribution to analysis the proposed model. Empirical results show that the relationships of exchange rate、Japanese and U.S stock markets, we can construct a trivariate GJR-GARCH (1，2)-M model to evaluate them, and the exchange rate and U.S. stock markets do have the asymmetrical effects. The empirical results also show that the U.S. and the Japanese stock market returns have the positive relations, namely the two stock market returns’ volatility are mutually affect, and they are synchronized each other. And the Japanese stock market return volatility receives the previous 1 period influence of the U.S. stock market return volatility. The exchange rate and the Japanese stock market return have the negative relations, namely the two market volatility are the reverse influence, and the Japanese stock market return volatility also receives the previous 1 period influence of the exchange rate volatility. The exchange rate and the U.S. stock market return also have the negative relations, namely two market volatility are the reverse influence, also exchange rate does not have receive the lags’ influence of the Japanese and the U.S. stock price market return volatility. Besides, under the bad news in U.S. Stock market, the variation risk increases in the U.S. stock market. Under the bad news in Japan’s exchange rate market, the variation risk increases in the Japan’s exchange rate market. As such the error correction and GJR-GARCH-M model has the best explanatory ability as compared to the model of the error correction and GARCH-M. Of these evidences may suggest, for example, the stock market investors or international fund managers, on the decision-making before of the investment stock or the evaluation stock market, they must considers the risk and the relatedness of the exchange rate volatility and the stock price return volatility.
