本篇研究以台灣29個非金融產業以及金融產業為例，探討自1996年至2016年的產業相互的依存度，以及自2007至2009全球金融海嘯時期，非金融產業是否會受到金融產業的風險傳染，最後進而探討所有產業之間是否存在著格蘭傑格因果關係。經由實證結果發現，所有非金融產業皆於1996至2016年間與金融產業之間有著高度且顯著的依存關係; 然而在金融海嘯期間，29個非金融金產業中，僅有9個產業有受到金融風險的傳染影響。 其中，與Baur (2012) 所發現的結果不同的是，石油、天然氣和電力產業並沒有受到台灣自身金融產業風險傳染的影響。而台灣的造紙業並沒有如Wang (2010) 所發現的對於多數產業有格蘭傑因果關係; 相對地，造紙業並沒有對任何產業造成格蘭傑因果關係。 除此之外，海運業對於其餘29產業中，與9個產業之間存在格蘭傑因果關係，是所有產業中為數最多的。

We have discovered that all the 29 non-financial industries in Taiwan share a strong interdependence with the financial sector with high statistical significance; furthermore, only 9 out of 29 non-financial industries are exposed to contagion effects spread from the financial sector. Surprisingly, the Oil, Gas, and Electricity are not exposed to the contagion effects from the financial sector in Taiwan which is completely different from what Baur (2012) has found. Papermaking in Taiwan does not granger cause any other 29 industries which are also different from the evidence found by Wang (2010). However, Sea Transport granger causes 9 out of 29 industries during the financial crisis period.

摘要..................................................................................................................i
Abstract...........................................................................................................ii
Table of Contents...........................................................................................iii
List of Tables..................................................................................................iv
Chapter 1 Introduction....................................................................................1
Chapter 2 Literature Review...........................................................................4
2.1 Industry-specific volatility.....................................................................................4
2.2 The effect of the financial sector on stock returns and real economic growth in the whole market and other non-financial economic sectors.............................................8
Chapter 3 Data and Methodology.................................................................12
Chapter 4 Empirical Results..........................................................................18
4.1 Non-financial and financial sector interdependence in full sample period..........18
4.2 Contagion from financial sector during Global Financial Crisis.........................20
4.3 Granger causality among different industries......................................................23
Chapter 5 Conclusion....................................................................................26
Reference.......................................................................................................28
Appendix.......................................................................................................32
List of Tables
Table 3- 1 Descriptive statistics.............................................................................................13
Table 3- 2 Correlation matrix.................................................................................................16
Table 4- 1 Non-financial and financial sector interdependence in full sample period...........19
Table 4- 2 Financial sector contagion effects of industry in Global Financial Crisis period.22
Table 4- 3 Granger causality among industries in Global Financial Crisis period.................25

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