2008年金融海嘯以後，許多國家為了避免陷入衰退相繼實施非傳統的貨幣政策，世界最早進行負利率實驗的國家為瑞典，在2009-2010年曾經將其利率調為負值；在2012年7月丹麥央行首度實施負利率政策，之後瑞士和瑞典以及歐洲中央銀行也在2014年陸續跟進實施負利率政策。歐洲的寬鬆政策貨幣會造成外溢效果，因此本研究想要研究歐洲實行負利率會對於台灣股市產生的影響效果，並研究歐洲負利率背景下台股與亞股的連動的關係。
本研究以E-views 8進行實證研究，資料型態為月資料，時間從2009年1月至2016年1月為止，並加入虛擬變數以區分政策前後期以探求是否具有結構性的改變。
在歐洲各國陸續實施負利率後，台灣股市的波動來自國際股市的影響有顯著提高，台灣大盤加權指數與歐洲股市還有上海A股為顯著正向影響，這顯示出台灣與國際股市的連動較為明顯，這也說明投資者可以藉由觀察國際股市連動的關係來預測台灣股市的走勢，同時歐洲短期利率與歐洲M2貨幣供給雖然沒有對於台股有顯著的影響，但是實施負利率後歐洲股市與台灣股市產生正向顯著影響，代表歐股的報酬會溢出到台灣股市。
由整體期間的迴歸模型也可以發現台灣短期利率對於政策前期台灣股市有顯著的負向影響，但是在政策實施之後台灣短期利率對於股市的影響並不顯著，利率對於股價具有顯著的負向影響，這表示投資者可以利用利率的走勢來預測長期台灣股市的走勢，此外美元兌新台幣匯率，雖然在短期內具有顯著的負向影響，亦即新台幣貶值對於股價具有負面的效應，但是在長期並沒有顯著的關係，可以說明利用匯率預測台灣股市只在政策實施前具有短期的效果。

Since the global financial crisis of 2007~2008, many countries have implemented unconventional monetary policies, one of which is the use of negative nominal interest rates. Therefore, in this study we want to investigate the implementation of this unconventional policy, and thus examine how the negative interest rates in Europe have impacted Taiwan’s stock market. We use a multiple regression model to analyze the macroeconomic variables and stock markets. Our data include monthly data, and the time period ranges from January 2009 to January 2016.
Our results show that for this whole period of time European monetary policy did not directly influence the Taiwanese stock market, but may have affected it through linkages and the interdependence of stock markets. In addition, SHA, STOXX, and KOSPI have positive relations with the Taiwanese stock market, but the other stock markets do not have a significantly impact on the Taiwanese stock market. Among the domestic macroeconomic variables, CPI and exchange rate only had negative impacts on the Taiwanese stock market before the policy, and short-run interest rates are negatively correlated with the market in the long run.

中文文獻
王泰堯（2013）。美國量化寬鬆政策前後股價與各因子關聯性之探討-以台灣加權股價為例。國立成功大學企業管理學系碩博士班，台南市。
劉祥熹、涂登才（2012）。美國股市及其總體經濟變數間關連性與波動性之研究－VEC GJR DCC-GARCH-M之模型應用。經濟研究，48（1），頁 139-189。
魏宏泰（2003）。台灣股價與總體經濟變數關係之實證研究。朝陽科技大學財務金融系碩士班，台中市。
外文文獻
Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market's reaction to Federal Reserve Policy? Journal of Finance, 60(3), 1221-1257.
Bowman, D., Londono, J. M., & Sapriza, H. (2015). U.S. unconventional monetary policy and transmission to emerging market economies. Journal of International Money and Finance, 55, 27-59.
Buiter, W. H. (2009). Negative nominal interest rates: Three ways to overcome the zero lower bound. The North American Journal of Economics and Finance, 20(3), 213-238.
Buiter, W. H., & Panigirtzoglou, N. (2003). Overcoming the zero bound on nominal interest rates with negative interest on currency: Gesell's solution. The Economic Journal, 113(490), 723-746.
Campbell, J. Y. (1991). A variance decomposition for stock returns. Economic Journal, 101(405), 157-179.
Cecchetti, S. G. (1987). The case of the negative nominal interest rates: New estimates of the term structure of interest rates during the Great Depression: National Bureau of Economic Research Cambridge, Mass., USA.
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
Ehrmann, M., Fratzscher, M., & Rigobon, R. (2011). Stocks, bonds, money markets and exchange rates: Measuring international financial transmission. Journal of Applied Econometrics, 26(6), 948-974.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-423.
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71(4), 545-565.
Fama, E. F. (1990). Stock returns, expected returns, and real activity. Journal of Finance, 45(4), 1089-1108.
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk-factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
Glick, R., & Hutchison, M. (2013). China's financial linkages with Asia and the global financial crisis. Journal of International Money and Finance, 39, 186-206.
Goodfriend, M. (2000). Overcoming the zero bound on interest rate policy. Journal of Money, Credit and Banking, 1007-1035.
Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120.
Jebran, K., & Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: Evidence from Asian Countries. Financial Innovation, 2(1), 1.
Keynes, J. M. (1936). The general theory of employment, interest and money. London,: Macmillan and co., limited.
Kim, S. (2001). International transmission of U.S. monetary policy shocks: Evidence from VAR's. Journal of Monetary Economics, 48(2), 339-372.
Lee, B. S. (1992). Causal relations among stock returns, interest rates, real activity, and inflation. Journal of Finance, 47(4), 1591-1603.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 13-37.
Mackowiak, B. (2007). External shocks, US monetary policy and macroeconomic fluctuations in emerging markets. Journal of Monetary Economics, 54(8), 2512-2520.
Maddala, G. S., & Lahiri, K. (2009). Introduction to econometrics: Wiley.
Mankiw, N. G. (2009). It may be time for the fed to go negative. New York Times, 18, 2009.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 768-783.
Narayan, S., & Narayan, P. K. (2012). Do US macroeconomic conditions affect Asian stock markets? Journal of Asian Economics, 23(6), 669-679.
Neri, S., & Nobili, A. (2010). The transmission of US monetary policy to the euro area. International Finance, 13(1), 55-78.
Nieh, C.-C., & Lee, C.-F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41(4), 477-490.
Peiro, A. (2016). Stock prices and macroeconomic factors: Some European evidence. International Review of Economics & Finance, 41, 287-294.
Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3(3), 95-106.
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
Singh, P., Kumar, B., & Pandey, A. (2010). Price and volatility spillovers across North American, European and Asian stock markets. International Review of Financial Analysis, 19(1), 55-64.
Treynor, J. L. (1961). Toward a theory of market value of risky assets. Unpublished manuscript.
Wongbangpo, P., & Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13(1), 27-51.