亞洲金融風暴發生後，外資在亞洲各國的股市與匯市究竟扮演何種角色，其對金融市場會帶來何種的衝擊與影響，是相當值得深入研究的議題。過去文獻探討不同市場間波動的外溢(spillover)效果，以Granger (1969, 1980)、GARCH模型或Cheung and Ng (1996)之方法較常被使用，然而，Granger之方法欠缺考量不同市場間波動外溢之叢聚效果，而後兩者之方法則無法反應不同時期的訊息影響效果會有所不同之現象。Hong (2001)即針對此缺點進行修正，藉以提高檢定的效率性。是故，本文採用Hong (2001)的方法，針對亞太地區的泰國、印尼、菲律賓、韓國、日本和臺灣之外資與股價，以及外資與匯率間的因果關係進行研究。實證結果發現，在外資與股價之因果關係上，除了印尼在報酬率之因果關係上為外資影響股價之外，其餘國家不是存在相互影響的關係，就是股價影響外資之單向因果關係，甚至臺灣是呈現兩者皆互不影響的結果。再者，在外資與匯率之因果關係上，除了臺灣是兩者皆互不影響之外，其餘國家皆為外資與匯率間互為因果之關係，或為匯率影響外資之單向因果關係。因此，由本文實證結果顯示，外資並非是造成亞洲各國金融市場不穩定之主要來源。

After Asian currency crisis occurred, the analysis for the trading behavior of foreign investments receives great attention not only from mortgage market practitioners, but from academic researchers as well. The recent literature examines the volatility spillover effect by Granger test (1969, 1980), GARCH model or Cheung and Ng (1996) test. However, Granger test doesn’t take into account the volatility clustering effect for the spillover between the different financial markets. Besides, GARCH method and Cheung and Ng (1996) test under the specification of uniform weighting don’t describe the phenomenon that the information at different time has different impacts for the financial market. Hong’s (2001) test improves this drawback by using a flexible weighting scheme for the sample cross correlations at each lag. It can give better power than uniform weighting. Our research applies Hong’s (2001) test to examine the volatility spillover of foreign investments and stock market’s indexes, foreign investments and exchange rates among six countries in Asia. Our empirical results show that foreign investments are not the important factors that affect stock markets and foreign exchange in the Asian Pacific countries. It implies that foreign investments do not dominate the stock markets and foreign exchange markets of the Pacific Basic countries.