本文的研究資料來源於「台灣經濟新報」資料庫，以台灣各上市公司股票報酬率為研究對象，在控制其他總體經濟變數可能造成影響下，討論人民幣/台幣匯率波動對台灣股票市場造成的影響，並且加入考慮股票報酬率可能存在星期一效果的影響進行研究。

在實證結果方面，總體而言，在所有台灣上市公司資料中，人民幣/台幣匯率變動對股票報酬率有顯著的影響，基本上符合商品市場理論中，出口導向經濟體的假設，人民幣/台幣匯率變動對股票報酬率有正的影響，然而在分別對不同的產業進行迴歸分析時，結果則不盡相同，我們推測可能的原因為不同產業對中國大陸方面的貿易狀況不同。而在星期一效果的部分，以總樣本而言，台灣的股票市場是存在星期一效果的，但是進一步看各產業的迴歸結果則可以發現，除了電子工業以及電機機械產業有顯著的星期一效果之外，其他產業則大多為不顯著的，並且亦有一些產業有反轉的現象。

由於考慮到台灣股票市場可能受中國大陸方面股市波動的影響，導致迴歸結果有所偏誤，以及台灣股票市場的情況可能隨著時間而改變，或者是不同時期的歷史事件可能對台灣股票市場造成衝擊，因此我們也在後續的模型中加入上海綜合指數的日報酬率及年分的虛擬變數加以控制。而在加入上述控制變數之後，總樣本的迴歸結果依舊是正相關顯著，可以得知台灣上市公司股票報酬率受人民幣/台幣匯率變動之影響，符合商品市場理論中出口導向國家的推論。

This study focus on investigating the impact of RMB/TWD exchange rate on Taiwan stock return from 2008 to 2014. The data we are using in this study are extracted from TEJ database.

According to our results, we find that: (1) There was a significant impact between RMB/TWD exchange rate and Taiwan stock return. Our results support good market theory, RMB/TWD exchange rate have a positive impact on Taiwan’s stock return. (2) It do exist Monday effect in Taiwan stock market, but the regression results are not so similar between each industries. Besides the electronics industry and electrical machinery industry has a significant Monday effects, other industries are mostly not significant, and also, there are some industries have reverse Monday effects.

Concerning the Taiwan stock market may be affected by China stock market volatility and the stock market may change over time, we also put Shanghai Composite Index and dummy variable of each Year in our regression. The results support good market theory.

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