全球金融市場一體化係指國家金融政策開放、國際資金流動，形成金融市場和世界發展逐漸密切的過程。金融市場一體化(以下簡稱一體化)使的國際投資組合多樣化效益下降，並影響各國的政策方向，連帶使得一體化議題受到政策制定者和投資者的關注。本文根據Billio et al (2017) ，採用台灣與主要已開發國家之間股票加權指數，檢定是否達到共整合關係，來檢視台灣是否已為一體化結構之一。
文獻上，台股與世界主要股票市場是否具有共整合關係尚未有一致性結論。本文採用Lee (2017)發展出的以傅立葉函數捕捉未知形式的結構性變化，為傅立葉形式斷裂模型共整合檢定(Cointegration in models with fourier-form break)。此模型解決了Engle and Granger(1987)傳統共整合檢定面對結構改變時可能出現的型一誤差；也克服了Gregory and Hansen (1996)共整合檢定法之中如何選擇結構改變斷點，改善虛擬變數估計結構性斷裂的不易性，增加實證研究的可行性。
本文採用以2001年1月至2018年3月間，共17年的月度數據，將台股與世界主要股市分成以下四組1.台股與美、英、德之股票市場2.台股與美、日、英之股票市場3.台股與美股4.台股與中國股市。其中，台股為應變數，國際主要股市則為自變數。
實證結果顯示，以傳統共整合分析，台股皆不具備共整合關係。但加入傅立葉形式斷裂模型共整合檢定後，前三組結果便有了共整合關係，證實台灣已成一體化結構之一。然而，台股與中國股市卻不具備共整合關係，顯示台灣和中國之間不適用一體化解釋。此檢定結果與目前世界經濟情勢和各國資金開放政策相符。

Financial market Integration refers to the trend of financial activities between countries that has influenced mutual financial flows. Financial market integration also reduces the diversification benefits of international investment portfolios and the global financial integration and frictionless international capital movement often affect the specific policy objectives of each country. Therefore, global market financial integration has received attention from policymakers and investors. Based on Billio et al. (2017), this study aims to explore whether Taiwan has become global market financial integrated , by means of comparing the existence of cointegration between Taiwan stock market and those of developed countries.
There is still no consistent conclusion whether the Taiwan stock market has reached cointegration with other stock markets from developed countries. In this study, the Fourier function with single equation model is adopted as a research method— the cointegration in models with Fourier-form break to rationalize the unknown structural break by Lee (2017). It solves the problem of structural break by Engle and Granger (1987), where the traditional cointegration may have type I error. It also solves the proposed the structural break timing in cointegration by Gregory and Hansen (1996) ,which based on the occurrence of the event or the test statistics. It improves the complexity by using dummy variable to capture structural breaks.
In this study, Taiwan stocks are dependent variable and the world's major stock markets are independent variable. Monthly statistics is adopted from January 2001 to March 2018 to compare Taiwan stock market with the world's major stock markets. The comparisons are divided into four groups: 1. TW vs. US, GB, DE. 2. TW vs. US, JP, GB 3. TW vs. US 4. TW vs.CN.
The results shows no cointegration in Taiwan stocks both in traditional models and Fourier transformation. However, when Fourier transformation is applied, the first three groups showed cointegration. It is a conclusive proof that Taiwan can be a financial integration. Moreover, Taiwan stocks and China's stock market do not have a cointegration relationship, which means they’re not financial integrated. The results are consistent with the current economy and the open door policy of various countries.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 v
表次 vi
1 緒論 1
1.1 研究動機 1
1.2研究目的 3
1.3 研究架構 6
2 文獻回顧 7
2.1傳統共整合文獻回顧 7
2.2加入結構改變共整合文獻回顧 9
2.3多重結構改變文獻回顧 10
2.4國外近期區域金融一體化文獻 11
3 研究方法 14
3.1單根檢定 14
3.2 Engle and Granger 共整合檢定 15
3.3加入傅立葉形式斷裂模型的共整合檢定 16
4 實證分析與結果 20
4.1 資料蒐集與處理 20
4.2 單根檢定分析與結果 25
4.3 傳統共整合檢定分析與結果 26
4.4 加入傅立葉形式斷裂模型的共整合檢定分析與結果 27
5 結論與建議 30
參考文獻： 32
附錄：臨界值和樣本限有特性 36

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