本研究探討股票、債券與加密貨幣報酬之間的動態互動，以美國與台灣市場為例，分析所得效果、替代效果及投機性效果對資產報酬波動的影響。採用1986–2025年美國股債資料、2015–2025年加密貨幣資料，以及台灣2005–2025年股債資料與2015–2025年加密貨幣資料，以月頻資料進行分析。 延伸 Hong et al.（2014）之框架，建立三變量結構向量自我迴歸模型（SVAR），並透過預測誤差變異分解（FEVD）與脈衝反應函數（IRF）量化各類衝擊對資產報酬的影響。結果顯示，美國股債相關性隨期間變化，由所得效果主導轉變為替代效果主導再回到所得效果主導；台灣市場所得效果於疫情後顯著提升。加密貨幣在早期主要受自身衝擊影響，疫情後逐漸受到股票市場共同因素影響，其投機性效果對資產價格也逐步增加。 研究結果指出，所得效果為多資產報酬波動的核心驅動，替代效果在市場震盪期間占優勢，投機性效果反映加密貨幣逐步融入金融市場，提供多資產投資與風險管理的重要參考。;This study investigates the dynamic interactions among stock， bond， and cryptocurrency returns， using the United States and Taiwan as case studies， and examines the effects of income， substitution， and speculative shocks on asset return volatility. The analysis employs monthly data from U.S. stocks and bonds between 1986 and 2025， U.S. cryptocurrencies from 2015 to 2025， Taiwan stocks and bonds from 2005 to 2025， and Taiwan cryptocurrencies from 2015 to 2025. Extending the framework of Hong et al. (2014)， a three-variable structural vector autoregression (SVAR) model is constructed， and forecast error variance decomposition (FEVD) along with impulse response functions (IRF) are applied to quantify the impact of each type of shock on asset returns. The results indicate that U.S. stock–bond correlations change over time， initially dominated by income effects， then by substitution effects， and finally returning to income effects. In the Taiwan market， the income effect becomes particularly pronounced after the COVID-19 pandemic. Cryptocurrencies were primarily influenced by their own market shocks in the early period， but after the pandemic， they increasingly reflected common factors from the stock market， while the impact of speculative shocks on asset prices gradually increased.Overall， the findings suggest that income effects remain the primary driver of multi-asset return fluctuations， substitution effects dominate during periods of market turbulence， and speculative effects reflect the gradual integration of cryptocurrencies into the financial market， offering important implications for multi-asset portfolio management and risk monitoring.
