由於過去關於台灣股匯市關連性探討的文獻中，有關匯率的部分大多是以新台幣兌換美元匯率來與股票市場進行探討。在1999年歐盟成員整合各會員國貨幣成立歐元後，歐元匯率的變動對國際經濟的影響力也日漸增強。本研究選取1999年1月1日至2003年6月30日之間美元兌換新台幣、歐元兌換新台幣的直接匯率，以及台灣加權股價指數，進行GJR-GARCH-M及Granger因果關係檢定，研究歐元匯率與美元匯率對台灣股市報酬和波動影響的差異。實證結果如下： 在使用GJR-GARCH-M模型比較股票市場與兩外匯市場的報酬後發現：股票市場與美元外匯市場報酬呈現雙向因果關係；股票市場與歐元外匯市場彼此卻互不影響對方。同時投資國內股票市場及歐元貨幣上可降低投資組合理論中的非系統風險，將可獲得較高的報酬。在波動性部分發現：美元匯率波動持續性高於歐元匯率波動的持續性，也就是對於訊息發生後歐元匯率比較能快速反應出其所造成的影響。另外以Granger因果關係檢定結果發現：匯率的漲跌會影響到台灣股價指數。美元匯率較不易受其他地區的貨幣及單一國家的股價所影響。美元的升貶值還是會間接影響到歐元。 From the historical record of the financial market, most researches and documents related to the exchange rate have been analyzed by using the exchange rate of the NT Dollars to US Dollars and the stock market. In 1999, after the European members integrated all the currencies of each of the members to establish the Euro Dollars, the variation of the exchange rate of Euro Dollars more and more influences the international economy every day. This research has selected the data from historical records of January 1st, 1999 to June 30th, 2003. These data include the exchange rate of US Dollars to NT Dollars, the direct rate of the Euro Dollars to NT Dollars and the weighted stock index in Taiwan. The GJR-GARCH-M and Granger’s causality models and effect examination focus on the different influences that the exchange rate of the Euro Dollars and the US Dollars will bring to the Taiwan’s stock market return. The results are as followed: By using the GJR-GARCH-M model to compare the return of the stock market with that of the two exchange rate markets, we have found the following: The return of the stock market and that of the exchange rate market for US Dollars present two sides of causality and effect relationship. On the other hand, the stock market and the exchange rate market for Euro Dollars are irrelevant to each other. According to the investment portfolio theory, an investment in the stock market of Taiwan and in the Euro currency together could possibly reduce the unsystematic risk and therefore, leading to a much higher return. From the fluctuation point of view, the exchange rate of the US Dollar tends to fluctuate more frequently, while the Euro Dollar remains more stable. In other words, the Euro Dollars will be more likely to reflect instantly of all possible influences of a sign or news. In addition, the result from the examination of Granger has shown that the price fluctuation of the exchange rate is likely to affect the stock price index of Taiwan. The exchange rate of the US Dollars is less likely to be influenced by the money currency of other countries or by the stock price of a country. The appreciation or devaluation of the US Dollars will still have an indirect effect on the Euro Dollars.
