本研究利用聯立方程式模型及VAR向量自我迴歸模型，探討資本流動、股價報酬率及匯率變動率間的互動關係，以G7國家為實證研究對象。由實證結果發現互動關係存在於部份國家。主要發現如下：資本流動與當期及前期股價報酬率呈現正向關係；資本流動與匯率變動率為正向關係，與美國利率為負向關係；匯率變動率與外國股價報酬率為負向關係但與美國股價報酬率為正向關係。從VAR中的衝擊反應函數可以發現，當變數受到其他兩個變數衝擊時，影響只維持短暫期間。

We study the interrelationship between capital flows, stock returns and exchange rates returns in G7 from 1998 to 2007. This article develop a simultaneous equations model and then use VAR framework to gain further insights into the dynamic interactions between these variables. We find several facts concerning the behavior of these variables in some countries. First, equity flows are positively correlated with current and lagged local stock returns. Second, equity flows are positively associated with exchange rate returns and negatively related with the U.S. interest rate relative to foreign interest rate. Third, exchange rate returns have strong evidences which are negatively correlated with foreign stock returns for most countries and positively correlated with the U.S. stock returns. Finally, the effects of shocks from stock returns, capital flows and exchange rate returns on the other two variables die out quickly.

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