此篇文章主要在探討新興市場之資本帳對於以美元計價之外國股市報酬波動以及美國以及外國報酬之相關性歸因於匯率波動的影響。動態的變異數以及相關係數是使用 DCC-GARCH 模型所求得。匯率波動模型係參考 Mun (2007)所發表的公式來加以運算及分析。實證結果顯示以美元計價之外國股市報酬波動歸因於匯率波動的影響顯著，其結果遠大於已開發國家的平均值。而匯率波動對美國以及外國報酬之相關性亦有正向影響。
資本帳對於美國以及外國報酬之相關性歸因於匯率波動的部分有正向影響，但是資本帳對於以美元計價之外國股市報酬波動歸因於匯率波動的影響不顯著。

This study examines effects of equity flows to volatility attributable to exchange rate fluctuations and correlations between US/local equity market return attributable to exchange rate fluctuations in emerging markets. Volatilities and correlations are obtained by applying DCC-GARCH model. Evidence presented in this paper indicates that conditional volatility attributable to exchange rate fluctuations are significantly positive for all countries which are 6 times greater than developed countries provided by Mun (2007); a higher exchange rate fluctuation has a marginally positive impact on the US/local equity market correlation. Connection between equity flows and conditional volatility attributable to exchange rate fluctuation are not obvious. Equity flows have a marginally positive impact on conditional correlations attributable to exchange rate fluctuations.

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