本文旨在探討與比較臺灣與香港股市家族集團內，股票報酬之間的領先影響關係 。 我們首先將上市集團的股票報酬在控制市場風險之後，利用 VAR 模型的衝擊反應函數與 變異數分解值，判斷臺灣與香港上市集團中之最具有影響力的股票（亦即稱為核心企業）。 本文的實證結果， 包括：（ 1 ）臺灣與香港上市集團核心企業的特性為集團中公司規模（ 市值）最大者，或家族（最大股東）持股最高者。 （ 2 ）雖然香港股市集團化的程度高於 臺灣，然而臺灣家族集團核心企業股票報酬對於集團內其它公司的領先影響程度高於香港華 人集團。 （ 3 ）香港股市中，紅籌股（中資）集團核心企業股票報酬對於集團內其它公司 的領先影響程度最大。再者，本文前、後兩段研究期間，臺灣與香港上市集團之核心企業的 衝擊反應函數與變異分解值並未存在明顯差異，顯示研究結果具有穩定性。

　　　　　This purpose of this paper is to investigate the lead influence relationship of stock returns within the same family groupings both in Taiwan and Hong Kong stock market. This study determine the core business, the most influential stock of the same business grouping by the impulse response function and decomposition of variance of VAR model based on the residual return which is controlled the market risk. The major empirical results are as followed. Firstly, the largest of market capitalization or the hignest of shareholding of the largest family (or holding company) is the common characteristics of the core business both in Taiwan and Hong Kong listed guoupings. Secondly, the lead influence of stock returns of the core business upon the rest companies within the same family grouping in Taiwan stock market is larger than that of Hong stock market. Thirdly, in Hong Kong stock market, the lead influence of stock returns of the core business upon the rest companies within the red-chip share groupings is larger than other groupings. Finally, there is no significant difference of impulse response function and decomposition of variance of core business both in Taiwan and Hong Kong stock market between former and later research periods.