本文以1999年1月5日至2005年12月30日之台灣股價與日本股價資料，探討台灣與日本股票市場之間的關聯。實證結果顯示，台灣與日本兩個股票市場之間有強的相關，可建構在雙變量GJR-GARCH(1,1)模式上，且用來分析兩股價市場的關聯性及探討兩股價市場是否存在不對稱效果。實證結果分析也顯示，台灣與日本股票市場報酬之間存在著正向的關係，即兩個股票市場報酬的波動將相互同步影響，其相關係數為ρ=0.3803。實證結果分析也顯示，台灣與日本兩股價市場在研究期間具有不對稱的效果。這些證據可建議股市投資人或國際基金經理人，在台灣投資股票決策之評估時，需考慮日本股價報酬之波動的風險及其關聯性。此外，政府有關當局在穩定股票市場時，更不可忽略外國股票市場報酬波動行為的影響，否則將達不到預期的效果。

This paper studies the association and the model construction of the Taiwan and the Japan stock price markets. The data period is from January 5, 1999 to December 30, 2005. The empirical analyses point out that there is a strong association between the Taiwan and the Japan stock markets. We use a bivariate GJR-GARCH (1, 2) model to evaluate the association and find that there exists an asymmetrical effect for the two stock markets. The result of the empirical analyses also shows that the Japan stock market returns positively affect the Taiwan stock market returns. And the volatility of the Japan and the Taiwan stock market returns interact with one another. The correlation coefficient of two stock market returns is significant (ρ=0.3803). Besides, the Taiwan and Japan's stock markets have an asymmetrical effect during the research sample period. These evidences suggest that the stock market investors or international fund managers in the Japan and the Taiwan stock market must evaluate previous stock investment decisions. They also need to consider the risk and relationship of the Japan stock market returns volatility. Therefore, the authorities that intend to stabilize its stock market would hardly reach their expectation effect if they ignore the effect of the foreign stock market returns volatility.