從投資組合的資產配置或是風險分散的層面來看, 市場之間的連結性逐漸成為重要的議題。但是在過去的文獻裡僅侷限在市場間的相關性, 而對於市場連結的強弱或影響的傳遞之討論並不完整。這篇論文使用 Diebold and Yilmaz (2009) 所提出的方法來探討黃金、石油、股票、外匯和債券市場間報酬與波動的外溢效果, 並且從市場的雙向影響至整體市場的連結程度來探討市場間影響傳遞的大小。我們發現市場間的連結會隨著總體環境以及投資人心理的氛圍有所改變,而非固定不變,且當經濟景氣處於衰退或是投資人對於市場逐漸悲觀,會加強市場間的連結。除此之外,根據市場狀況的不同而從市場相關係數與外溢效果挑選投資組合,結果顯示外溢效果大的投資組合的績效優於外溢效果低的投資組合。本研究證實外溢效果對於投資或風險分散的決策上扮演著重要的角色。

Markets connectedness is a crucial issue in portfolio management , because it distort s the effects of asset allocation and risk diversification. However, the most relevant literature only focuses on whether markets connectedness exists and does not refer to the intensity and transmission of market connectedness. This paper employs the method developed by Diebold and Yilmaz (2009) that estimates market spillover (gold, oil, stock, bonds and exchange rates) from pairwise through system-wide. Additionally, we investigate what effect investor sentiments and business cycles lead to market linkage changes. We find that market linkage is changed by the macroeconomic environment and investment atmosphere. Further, that most market return spillovers and volatility spillovers are reinforced as the investor sentiment index decreases or the economy is in recession. Finally, in accordance with market states to construct portfolios from correlations and spillovers with our results showing the performance of portfolios with close linkages outperform those that do not. This is evidence that markets spillovers are important and useful for decision making on asset allocation and risk diversification.

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