本研究以石油價格變動率作為門檻變數，探討匯率變動率及S&P 500指數變動率對台灣店頭市場分類股價報酬率的影響是否存在結構性的變化。 研究結果顯示存在平滑移轉效果的有運輸類股及營造類股。在門檻上，類股報酬率與石油價格變動率為正相關、與S&P500指數變動率為正相關、與匯率變動率為負相關。平滑移轉後，石油價格變動率與匯率變動率對類股報酬產生負向影響、S&P 500指數變動率對類股報酬率為正相關。 This study uses oil price change rate as a threshold variable to analyze relationship between OTC stock returns and oil price change rate, exchange rate and S&P 500 change rate. The analysis can deduce whether exist smooth transition effect or not. The empirical results indicate that only with transportation stock and construction stock have structural change. Before structural change, oil price change rate and S&P 500 change rate affect stock returns positively. However, the relationships between exchange rate and stock returns are negative. After structural change, oil price change rate and exchange rate have negative effect on stock returns. The relationships between S&P 500 and stock returns are still positive.