本研究應用ARJI模型來探討次級房貸危機對金磚四國股市的報酬率及波動性的外溢效果。實證結果發現：美國股市對金磚四國股市的外溢效果確實存在，其中，美國股市對中國股市是最具影響力的。此外，每當有重大事件發生時，此四個國家對事件反應的跳躍強度皆比整個樣本期間的平均值高，表示市場有衝擊時，會使風險暫時增加。但是長期而言，投資人的投資風險是不高的，因為市場會自己回復原先的水準。再者，由於股市風險最大的是巴西，最小的是印度，因此當投資人及基金經理人想投資於此區域時，應該分配較多的資金於印度市場，較少的資金於巴西股市，以降低投資風險。

This study applies the ARJI model to examine the spillover effect of subprime mortgage crisis on the stock markets of BRICs. The empirical results indicate that the American stock market indeed has spillover effect on those of BRICs. Among them, the largest effect of the American stock market is on that of China. Besides, whenever there are important events occur, the jump intensities of the stock markets in the four countries are higher than their averages, showing that when there are innovations flowing into the market, the risks will increase temporary. However, in the long run, the risks that the investors face are not high because the market will finally back on track based. Further, as the highest (lowest) risk of stock market appear in Brazil (India), the investors should allocate more funds into the Indian market and lesser in Brazil to reduce investing risks when the investors and fund managers would like to invest in this area.