新興市場的規模指數的波動過去一直很少人進行研究，主因為新興市場缺乏規模性的股票指數。為了建立規模指數，本研究擬以臺灣股票市場（上市、上櫃）的公司為樣本，並以公司的市值當作公司規模的代理變數。於本研究的期間内，將所有研究樣本（扣除成交量較低的5%)給與排序，分成10組（每組約110家公司），並利用加權股價的概念，計算出各類規模的指数。其中大型股指數則以最大公司規模組的指數代替，而小型股指數最小規模組的指數代替，中型股則排序在中間110家的公司計算出加權股價指數。在有各類規模指數後，本研究則利用EGARCH GARCH分析金融海嘯前後波動不對稱的變化狀況。研究結果發現，金融海嘯前期小型股指數不存在波動不對稱的狀況，並且在金融海嘯過後大型股及中型股的波動不對稱狀況顯著下降，這反映出金融海嘯過後，臺灣的護盤政策（金融海嘯前小型股禁止放空，金融海嘯全面禁止放空）有助於投資人恐慌性的減少。

There are few researches focusing on the issues of size indexvolatility over the past in the emerging marketsdue to lacking relevant information, like firm size stock index. This study established firm size stock indexes by makingup the sample from stock market in Taiwan. The market value of the company could be considered as the proxy variable of the firm size. During the study period,all sample companies (omitting those trading volume are ranked last 5% ) were divided into 10 groups ( about 110 companies per group ). By adopting the weighted price concept, the size indiceswere calculated and ranked. The large stock index comprised of the largest group ( ranked in size) of firm size index. And the smallest stock index consisted of the smallest group of firm size index. The midcap stock index was made up from 110 companies rankingin the middle. This paper adoptedEGARCH model to analysis asymmetric volatility change of firm size index with respect to the per- and post- financial tsunami. The results showed that there was notsymmetric volatility for the small stock index beforefinancial tsunami period, and that the asymmetric volatility of the large and midcap stock index were decreased significantlyafter financial tsunami. This might reflect that the supporting market policy from Taiwan’s authorities would help reduce panic sell of investors after the period of financial tsunami.