本文利用十五分鐘之即時報酬資料(Intraday returns)探討台灣股市 與主要亞洲股市(日本與香港)間之即時相互影響。由於台灣、日本與香港股市開盤及收盤之時間不一，因此，尚未開盤之股市可能受到已開盤股市累積之變化之影響，已開盤之股市亦可能受到剛傳來之其它股市之變化之影響。本文發現三個股市間確有相互影響之情形，亦有輕微之違反股市效率之情形；雖然台灣股市受到日本、香港等亞洲股市之影響，但台灣股市之大幅漲跌主要還是受到國內政治、景氣展望、利率變動及市場因素等之影響。

Fifteen-minute intraday returns for Taiwan, Tokyo and Hong Kong stock markets are used to examine the interactions between Taiwan and Tokyo/Hong Kong stock markets. The period in study is from August 1991 to June 1992. There are some evidence of market in teractions as well as weak evidence of market inefficiency in these markets. Taiwan intraday returns are impacted by preceding returns in Tokyo and Hong Kong stock markets, while Hong Kong is affect-ed by Taiwan stock market in the same way too. Tokyo stock mar-ket is not affected by Taiwan at all. However, R-squares of the OLS results are too low to demonstrate the importance of interact-tions. A further examination of the sample of large changes of re-turns greater than 1% weakens the previous OLS evidence of inter-actions. Finally we collect the news reports for these three stock markets when their market index changes are greater than 1 %. After searching for major factors that affected these market returns in the same period as that in study, we find that only a small percentage of large changes in Taiwan stock market are caused by large changes in Tokyo or U.S. stock markets, and not by Hong Kong stock market at all. Tokyo and Hong Kong stock markets are never reported as affected by changes in Taiwan stock market. This study shows that Taiwan, Tokyo and Hong Kong stock markets may inter-act with each other, but mostly through important international events. They are not integrated markets. The evidence of market in-efficiencyin Taiwan and Hong Kong stock markets is weak.