本研究應用一個直接、明確的模型以觀察匯率波動在國際股市所扮演的角色，檢查個別國家之股市報酬波動性及跨國股市相關性如何被匯率波動所影響，並衡量由於匯率波動影響單一國家股市報酬波動和跨國股市相關性的程度。結果發現大部分樣本國之匯率變動對股市報酬均為顯著相關，但部分國家之匯率變動和美國股市報酬的關聯大於和國內股市相關性；所有樣本國的股市和美國股市均呈顯著正相關、且新興市場之股市波動多大於美國股市之波動。所有國家之股市報酬波動可由匯率波動解釋能力頗高，顯示匯率波動對股市報酬波動確實具有重大影響力。至於匯率波動對各國和美國股市相關性解釋能力，當匯率波動大時，美洲之新興國家和美國股市相關性會提高、且為正向，歐洲地區國家則多呈現高度負相關，顯示多數新興國家具有高匯率波動時，將對跨國股市相關性具有重大影響力。

This study develops a direct, clear model for the role of exchange rate fluctuations in international stock markets and examines how and what extent volatility and correlations in equity markets are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that each emerging stock markets’ return is strongly correlated with the US stock market’s, and the volatility for each emerging stock markets is greater than that for the US stock market. We find that exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, and there was significant influence on the US/local equity market correlation.

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