股票價格的波動往往與一國經濟表現有很大的關係，許多總體經濟變數能解釋一個國家的經濟表現狀況，若能事先充分了解這些總體經濟變數與股票報酬間變動之情形，便能有助於投資者提高投資報酬，並且利用兩變數之變動結構降低投資風險。過去文獻大多使用時間序列中的因果關係檢定、衝擊反應函數、預測變異數分解等方法，這些方法一般只能判斷變動方向以及變動之程度，但往往忽略兩變數間變動之結構。本研究應用Copula 函數找出股價與總體經濟變數最適的相依關係，並透過最佳的Copula 函數求出不同市場間的條件蔓延機率並解釋其存在之經濟意涵，經由實證結果發現: 一、股價與匯率變動關係有Gumbel Copula右尾相依特性，當匯率上 漲時股價跟著上漲之機率，比匯率下跌時股價跟著下跌時要高，顯然投資者可利用匯率做為多頭投資之指標，利率、CPI與IPI也具有此一特性，但表現較不明顯。 二、股價與貨幣供給量變動關係為Clayton Copula左尾相依特性，實證結果與匯率、CPI、IPI剛好相反，當貨幣供給量下降股價跟著下跌，比貨幣供給量增加股價跟著上漲時要高，所以可以當作空頭之指標。 The volatility of stock price often has a great relationship with the performance of a country’s economy. Many macroeconomic variables can explain the situation of a country’s economic performance. If investors understand the relationship of volatility between macroeconomic variables and stock price in advance, they could improve returns and reduce risk. Most of previous studies used time series method, for example Granger Causality, impulse response functions, and forecast variance. These methods are limited to only the direction and degree of relations between macroeconomic variables and stock price, but all of them ignored the structure of two variables changes. This article applies Copula functions to find the best dependence of stock price and macroeconomic variables through the optimization of Copula functions that could calculate the contagion probabilities of different markets and explain economic implications. The empirical results as following: First, the relation between stock price and exchange rate has the characteristic of Gumbel Copula, which means the probability of exchange rate appreciation influencing stock price rise is higher than the probability of exchange rate depreciation influencing stock price drop. Obviously investors could use exchange rate as long signal, and the others like CPI and IPI also have the same characteristics but not significant. Second, the relation between stock price and money supply has the characteristic of left tail of Clayton Copula. The results of exchange rate, CPI and IPI are right tail of Gumbel Copula. Specially, the probability of money supply down influencing stock price down is higher than the probability of money supply up influencing stock price up. Thus, money supply could be as an indicator of short positions.