本文使用Enders and Siklos（2001）不對稱門檻共整合模型（asymmetric threshold co-integration model），探討並分析於次級房貸危機事件的前後，美股與東歐股市間不對稱的共整合關係。實證發現在2008年9月15日的雷曼兄弟破產事件之後，美股與東歐股市間的不對稱共整合現象較危機前有顯著增強之趨勢，證實美股與東歐股市存在有訊息衝擊所導致的國際股市蔓延效應，在次貸危機之後，美股與東歐股市間的共整合關係會逐步增強，顯示東歐各國歷經多年的經濟改革和市場開放後，其與國際金融市場的連結已有相當提升。此外實證結果亦顯示以次貸危機為例，他國金融市場與危機發生國（美國）金融市場的連結性強弱，才是造成被蔓延的主因。
This study employed the Enders and Siklos (2001) asymmetric threshold co-integration model to investigate the variations in the asymmetric co-integration relationship between the S&P 500 Index and the stock markets of Poland, Czech, Hungary and Turkey around the Subprime Mortgage Crisis.The main findings demonstrated that with the application of the Enders-Siklos asymmetric threshold co-integration test, there was significant increase in these asymmetric co-integration relationships between them after Lehman Brothers filed the bankruptcy on September 15, 2008. The result shows that due to the enforced economic reforms and opening of the markets in the East European countries over the years, the financial linkage between them and international financial markets increased significantly. Therefore, the U.S. markets had more impact on the East European markets. The event of the Subprime Mortgage Crisis revealed the financial linkage to the U.S. markets determined the degrees of contagion effects.
