匯率市場與股票市場在一國的經濟發展中扮演著極為重要的角色，所有有關於股票與匯率市場的研究結果也被投資人視為預測未來股價指數與匯率的走向重要依據，本研究以歐元匯率與歐元會員國家股價指數，2002 年 1 月 1 日至2006 年 1 月 19 日的收盤價為研究對象，進行匯率市場與股票市場關聯性的探討。 在匯率與股票關聯性方面，經以ADF、PP及KPSS 單根檢定法進行研究，發現不論歐元匯率與歐元國家股價指數，均屬於I(1)的時間數列。 利用門檻共整合模型發現歐元匯率與歐元國家股價指數皆存在非對稱門檻共整合關係。 在門檻誤差修正模型中發現在短期中歐元國家股價指數與歐元匯率並無相互影響關係，但在長期歐元匯率在門檻值之上或之下會領先歐元國家股價指數。 本研究另利用傳統對稱誤差修正模型，得出兩者間皆無長短期雙向因果關係，而門檻誤差修正模型則可描述均衡關係偏離程度不同時之不對稱調整情形。 This article developed a generalization of the Engle and Granger (1987) procedure that alls for either threshold autoregressive (TAR) or momentum-TAR (M-TAR) adjustment toward a cointegrating vector and employing the Threshold Error-Correction Model (TECM), this study investigates the asymmetric causal relationships between stock price respectively and euro exchange rate in euro’s countries using the daily closing data running from 2002 to 2006. The power of the test for TAR adjustment is poor compared to that of the Engle and Granger test. However, for a plausible range of the adjustment parameters, the power of the M-TAR test can be many times that of the Engle and Granger test. The results from Granger and Causality tests based on corresponding Threshold Error Correction Model clearly point out a bidirectional causality running from the exchange rate market to the stock market in the short run and we find asymmetric price transmissions between the stock market respectively with the exchange rate markets in the long run.
