過去探討外匯市場的文獻大多考量在單一匯率的探討，而歐盟成立後，歐元成為世界貿易的主要貨幣，對過去美元獨大的地位有所影響。本論文欲探討當美元與歐元間存在套利空間時，是否會影響股票價格。本研究選取2002年1月1日至2005年6月30日之間，其中匯率所使用的資料為美元兌換新台幣與歐元兌換新台幣，兩者間的相對匯率，以及台灣加權股價指數，進行雙變量EGARCH模型，探討美元與歐元間之匯率波動性對台灣加權股價指數波動性之連動關係及相關性。實證結果如下： 由EGARCH的平均數方程式得知：(1)台股報酬受到前一期自身報酬的正向影響，另外也受到美元兌歐元之匯率變動報酬前一期的正向影響；(2)美元兌歐元之匯率變動報酬會受到前一期自身報酬的正向影響，也受到台股報酬前一期的正向影響。 由EGARCH的變異數方程式得知：(1)台股報酬的波動會受到前一期台股報酬變動及前一期美元兌歐元之匯率變動報酬的正向影響；(2)美元兌歐元之匯率變動報酬的波動會受到前一期匯率變動報酬及前一期台股報酬變動的正向影響。 台股報酬與美元兌歐元之匯率變動報酬的波動性明顯存在GARCH效果，亦即其波動受到前期股價報酬波動與匯率變動報酬的波動影響。 Previous researches have been mostly focus on analyzing the effect by single exchange rate. However, as the European Union emerged, Euro Dollars has become a significant currency of the world. The variation between the exchange rate of Euro Dollars and US Dallars more and more influences the international market and stock price every day. This research uses the direct rate of US Dollars to Euro Dollars and the weighted stock index in Taiwan from January 1st, 2002 to June 30th, 2005 to analyze the interaction between US/EURO Dollar exchange rate volatility and Taiwan weighted stock index volatility. The bivariate EGARCH models are employed to investigate the interaction between US/Euro Dollar exchange rate volatility and Taiwan weighted stock index volatility and the effect of stock returns and volatility spillovers as well. The results are as followed： The EGARCH mean equation shows that Taiwan s stock market return is positive and is affected by itself and earlier stage of the variation of the exchange rate between US Dollars to Euro Dollars. The variation of the exchange rate of US Dollars to Euro Dollars is positive affected by itself and Taiwan s stock market return at earlier stage. The EGARCH variance equation shows that the variation of the Taiwan s stock market return is positive which is affected by earlier stage the variation of the Taiwan s stock market return and earlier stage the variation of the exchange rate of US Dollars to Euro Dollar. The variation of the exchange rate of US Dollars to Euro Dollars is positive affected by itself and Taiwan s stock market return at earlier stage. Taiwan s stock market return and the variation of the exchange rate between US Dollars to Euro Dollar show a significant GARCH effect, and the volatility is affected by the variation of the stock price and the variation of the exchange rate at earlier stage.
