本研究探討國際股市報酬率間之關聯性，選取了美國S&P500指數，上證綜合指數、印度指數、巴西指數、俄羅斯指數等五國股價指數報酬率做為研究對象。在資料取樣時間部份，以美國量化貨幣寛鬆政策正式實施執行的2008年11月24日為資料期間的分割點，分成第一階段為美國量化寛鬆貨幣政策實施前，期間為2007年3月1日至2008年11月23日；第二階段為美國量化寛鬆貨幣政策實施後，期間為2008年11月24日至2010年3月31日。變數計算所使用的資料為五地股市之日收盤股價指數以計算各地股市之日報酬率，再以日報酬率來作為計算之基礎。本研究使用的研究方法主要採用VAR 向量自我迴歸模型、Engel & Granger 共整合檢定與Granger 因果關係檢定等，檢驗五地股市報酬率在美國量化寛鬆貨幣政策實施前後的互動關係。
本研究結論認為：在美國量化寛鬆貨幣政策實施前後，美國及巴西經濟對全球有較大的影響力。在美國量化寛鬆貨幣政策實施後，中國經濟在金磚四國的重要性提高，對全球的影響性逐漸增加。全球經濟在金融海嘯後，復甦的步代雖不一致，可能因為受到次貸金融危機的影響，造成各國經濟受創的程度不一，投資人除了留意以美國市場為主的觀察指標，轉向就各國家的經濟狀況做投資判斷，美國己逐漸喪失全球的領導地位，金磗四國的重要性提高。而美國因金融風暴後，景氣衰退，寛鬆政策不足以解決危機，遂推出量化寛鬆貨幣政策，而金磚四國除貨幣政策外，更有能力推出一系列的財政政策，如中國在2008年推出四兆振興經濟的救市方案，而美國僅就有限的財政支出及量化寛鬆貨幣政策，其在全球的影響力漸微。金磚四國各國股市在美國量化寛鬆政策前彼此間互動並不是那麼明顯，但在美國量化寛鬆政策後，其互動關係明顯提升，顯示金磚四國的重要性提高。

The purpose of this research is to examine the relation of global stock market returns, including S&P500 Index, SSE Composite Index, Sensex Index , Brazil Index, and RTS Index. The data was from 2007/3/1 to 2010/3/31 , and it was divided into two periods by 2008/11/24 , which is the execution date of U.S. Quantitative Easing Monetary Policy. We use the daily stock closing-price to calculate daily stock return from five major stock markets. The method to carry out this study was using VAR, Engle & Granger Cointegration test, and Granger Causality test to examine the correlation change of five markets return before and after executing Quantitative Easing Monetary Policy.
This research found that U.S. and Brazil have important impaction to the whole world before and after executing Quantitative Easing Monetary Policy, but China is getting more important after QE. After the Financial Tsunami, each country’s economy has different suffer, we should ascertain it by each country’s economic condition. Now U.S. is losing its leading position in the world, and BRICs are rising.Compare to U.S. , BRICs not only have monetary policy, but also have fiscal policy support. For example, China stimulated economy through a 4 million policy in 2008. Besides, the relation among BRICs is not significant before QE, but a significant effect is rising after QE.

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