匯率市場與股票市場在一國的經濟發展中扮演著極為重要的角色，所有有關於股票與匯率市場的研究結果也被投資人視為預測未來股價指數與匯率的走向重要依據，本研究以歐元匯率與歐元會員國家股價指數，2002 年 1 月 1 日至2006 年 1 月 19 日的收盤價為研究對象，進行匯率市場與股票市場關聯性的探討。
在匯率與股票關聯性方面，經以ADF、PP及KPSS 單根檢定法進行研究，發現不論歐元匯率與歐元國家股價指數，均屬於I(1)的時間數列。
利用門檻共整合模型發現歐元匯率與歐元國家股價指數皆存在非對稱門檻共整合關係。
     在門檻誤差修正模型中發現在短期中歐元國家股價指數與歐元匯率並無相互影響關係，但在長期歐元匯率在門檻值之上或之下會領先歐元國家股價指數。    本研究另利用傳統對稱誤差修正模型，得出兩者間皆無長短期雙向因果關係，而門檻誤差修正模型則可描述均衡關係偏離程度不同時之不對稱調整情形。

This article developed a generalization of the Engle and Granger (1987) procedure that alls for either threshold autoregressive (TAR) or momentum-TAR (M-TAR) adjustment toward a cointegrating vector and employing the Threshold Error-Correction Model (TECM), this study investigates the asymmetric causal relationships between stock price respectively and euro exchange rate in euro’s countries using the daily closing data running from 2002 to 2006.
  The power of the test for TAR adjustment is poor compared to that of the Engle and Granger test. However, for a plausible range of the adjustment parameters, the power of the M-TAR test can be many times that of the Engle and Granger test.
  The results from Granger and Causality tests based on corresponding Threshold
Error Correction Model clearly point out a bidirectional causality running from the
exchange rate market to the stock market in the short run and we find asymmetric price transmissions between the stock market respectively with the exchange rate markets in the long run.

第一章  緒論
第一節	研究背景………………………………………… ………………1
第二節	研究動機與目的…………………………… ……………………2
第三節	論文架構…………………………………… ……………………4

第二章	文獻回顧
第一節	國外文獻回顧……………………………… ……………………5
第二節	國內文獻回顧……………………………………………………13

第三章	研究方法
第一節	單根檢定…………………………………………………………17
第二節	門檻共整合分析…………………………………………………22
第三節	誤差修正模型……………………………………………………25
第四節	門檻誤差修正模型………………………………………………26

第四章	實證分析
    第一節  變數選取與資料來源……………………………………………29
    第二節  單根檢定…………………………………………………………31
    第三節  門檻共整合分析…………………………………………………33
    第四節  門檻誤差修正模型………………………………………………38

第五章研究結論與研究建議    
    第一節  研究結論… … … ………………………………………………55
    第二節  研究建議…………………………………………………………56

參考文獻…………… ………………… ……………… ………………………57
圖表目錄
<圖1.3.1> 論文架構流程圖…… ……………………… ………… ………………4
<表2.1.1> 外國文獻簡表………………………… ………………………………10
<表2.2.1> 國內文獻簡表………… ………………………………………………15
<表4.1.1>敘述統計量……………… …………………………… ………… ……30
<表4.2.1> 單根檢定………………… ……………………………………………32
<表4.3.1> 門檻共整合檢定…………… …………………………………………34
<表4.4.1>德國誤差修正模型……… ……… ………………… …………………40
<表4.4.2>法國誤差修正模型… …………………… ……………… ……………42
<表4.4.3>西班牙誤差修正模型… ……………………… ………… ……………44
<表4.4.4>義大利誤差修正模型……… ………… ……………… ………………46
<表4.4.5>荷蘭誤差修正模型………… ………… ………… ……………………48
<表4.4.6>比利時誤差修正模型……… ………………………… ……… ………50
<表4.4.7>英國誤差修正模型……… …………… ……………… ………………52
<表4.4.8>非對稱門檻誤差修正模型彙整 ……………… ………………………53

參考文獻

一.	中文部分

1.	薛詠菁 (1997)，「南韓股票報酬與匯率關係之實證研究，台灣大學財務金融研究所未出版碩士論文。
2.	吳嘉豐 (1998)，「匯率與股價指數報酬率及其波動性之關係:GARCH 模型的應用」， 私立淡江大學財務金融學研究所碩士論文。
3.	林惠雯 (1998)，「匯率與股價指數的互動與連結」，私立元智大學工業工程碩士論文。
4.	蔡家宏 (1999)，「台灣股市與匯市間報酬及波動性之外溢效果∼GARCH 及GMM之應用」，國立政治大學企業管理碩士論文。
5.	聶建中與鄭佳音 (2000)，「台灣地區股價與房價之線性及非線性互動關係」，台灣土地金融季刊，第37 卷，第1 期，29-45。
6.	邱哲修、邱建良與蘇英谷 (2001)，「台灣匯率波動對股價報酬之影響」企銀季刊，第24 輯，第4 期，131-147。
7.	姚蕙芸與聶建中 (2001)，「台灣股價與匯率關聯性之研究」， 國立臺北技術學院學報，第2 期，1-16。
8.	沈中華與陳建福 (2003)，「B 股開放政策對中國大陸股票市場效率性有影響嗎？不對稱門檻共整合模型的應用」，財務金融學刊，第11 卷，第3 期，89-119。
9.	洪慶鐘 (2003)「高、低波動與股匯價關係研究」，私立淡江大學產業經濟碩士論文。
10.	劉邦彥 (2004)，「股價與匯價非線性關係之探討：以台灣及南韓為例」，逢甲大學經濟研究所碩士論文。
11.	劉祥熹與張英信 (2000)，「東亞主要國家股價與匯率關聯性之研究」，證券金融季刊，第67 期，1-33。


二. 英文部分

1.	Ajayi, R.A. and M. Mougoue (1996), “On the Dynamic Relation Between Stock Prices and Exchange Rates “ ,Journal of Financial Research, 19, 193-207.
2.	Abdalla I.S.A. and v. Murinde (1997), “Exchange Rate and Stock Price Interactions in Emerging Financial Markets:Evidence on India, Korea, Pakistan and the Philippines, Applied Financial Economics” , 7, P25-35.
3.	Bodart, V. and P. Reding (1999), “Exchange Rate Regime, Volatility and International Correlations on Bond and Stock markets,” Journal of International Money and Finance” , 28,.133-151.
4.	Chan, K.S. (1993), “Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model,” The Annals of Statistics, 21, 520-533.
5.	Dickey, D. A. and W. A. Fuller (1979), “Distribution of the estimators for autoregression time series with a unit root” , Journal of American Statistical Association, 74, 427-432.
6.	Dickey, D. and W.A. Fuller (1981), “Likelihood ratio statistic for autoregressive time series with a unit root” , Econometrics, 49, 1057-1072.
7.	Dominguez and Tesar, “A Re-Examination of Exchange Rate Exposure” , American Economic Review: Papers and Proceedings, May 2001, 1-9.
8.	Engle, R. F. and C. W. J. Granger (1987), “Cointegration and error correction: representation, estimation and testing” , Econometrica, 55, 51-276.
9.	Enders, W. and C. W. J. Granger (1998), “Unit root tests and asymmetric adjustment with an example using the term structure of interest rates” , Journal of Business and Economic Statistics, 16, 304-311.
10.	Enders, W. and P. L. Siklos (2001), “Cointegration and threshold adjustment” , Journal of Business and Economic Statistics, 19, 166-176.
11.	Granger, C. W. J. and P. Newbold (1974), “Spurious Regression in Econometrics＂, Journal of Econometrics, 2, 111-120.
12.	Ikeda, S. (1991), “Arbitrage Asset Pricing under Exchange Risk, Journal of Finance” , 46, 6, 447-455.
13.	Granger, C. W. J. (1981), “Some properties of time series data and their use in econometric model specification＂, Journal of Econometrics, 16, 121-130.
14.	Granger, C. W. J. and T. Teräsvirta (1993), “Modeling nonlinear economic relationships” , Oxford University Press.
15.	Issam S.A. Abdalla and V. Murinde (1997) —“Exchange rate and stock price interactions in emerging financial markets：evidence on India, Korea, Pakistan and the Philippines” ,Applied Financial Economics , 7, 25-35.
16.	Jorion, P. (1991), “ The Pricing of Exchange Rate Risk in the Stock Market,” Journal of Financial and Quantitative Analysis” , 26, pp.363-376. 
17.	Johansen, S. (1988), “Statistical analysis of cointegrating vectors” , Journal of Economic Dynamics and Control, 12, 231-254.
18.	Kanas, A. (2000), “Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence” , Journal of Business Finance and Accounting, 27(3), 447-468.
19.	Kim, K.H. (2002), “Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model” , Review of Financial Economics, 12, 301–313.
20.	Mishra, A. K. (2004), “Stock market and foreign exchange market in India: Are they Related?” , South Asia Economic Journal, 5, 2, 209-232.
21.	Mok, H. (1993), “ Causality of interest rate, exchange rate and stock price at stock market open and close in Hong Kong” , Asia Pa-cific Journal of Management, 10(2), 123-143.
22.	Ma, C. K. and G. W. Kao (1990), “On exchange rate changes and stock price reactions” ,Journal of Business Finance and Accounting, 17 (3), 441~449.
23.	Mukgeriee, T. K. and A. Naka (1995), “Dynamic relation between Macro-economic variables and the Japanese stock market: an application of a Vector Error Correction Model” , The Journal of Financial Research, 18, 232-237.
24.	Nieh, C.C. and C. F. Lee (2001), “Dynamic relationship between stock price and exchange rates for G-7 countries” , The Quality Review of Economics and Finance, 41, 477-490.
25.	Nelson, C. R. and C. I. Plosser (1982), “Trends and random walks in macroeconomic time series: some evidence and implications” , Journal of Monetary Economics, 10, 139-162.
26.	Perron, P. and S. Ng (1996), “Useful modifications to some unit root tests with dependent errors and their local asymptotic properties” , Review of Economic Studies, 63, 435-463.
27.	Phillips, P. C. B. and P. Perron (1988), “Testing for a Unit Root in time series regression” , Biometrika, 75, 335-346.
28.	Schwert, G William (1989), “Tests for Unit Roots: A Monte Carlo Investigation” , Journal of Business and Economic Statistics, American Statistical Association, 7, 2, 147-59.
29.	Wu, Ying (2000), “Stock prices and exchange rates in a VEC model—the case of Singapore in the 1990s” , Journal of Economics and Finance, 24, 3, 260-274.