本研究以台灣上市之電子業公司為例,探討其股價報酬與匯率波動間的非線性關係,本研究採用Gonza′lez, Terasvirta and van Dijk (2004, 2005) 所發展的縱橫平滑移轉迴歸模型(Panel smooth transition regression model, PSTR),以匯率波動率為模型中的轉換變數,觀察台灣匯率的波動對台灣電子業之股價報酬是否存在平滑移轉效果,並進一步分析匯率波動對股價報酬之平滑移轉效果下,負債比、速動比率、每股盈餘與匯率變動率對股價報酬之影響變化。實證結果發現,匯率的波動對台灣大部分的電子業之股價報酬都存在顯著的平滑移轉效果,且大部份的公司其負債比、速動比率、每股盈餘與匯率變動率在各門檻間都能顯著的對股價報酬有著不同的影響。 This study adopts the empirical model of Gonza''lez, Terasvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the exchange rate variable. This research uses regression model to analyze the nonlinear impact of exchange rate on return among electric industry in Taiwan. And we make the debt ratio, quick ratio, earnings per share and the exchange rate volatility as independent variable. Empirical results show that exchange rate volatility on most of stock returns of Taiwan''s electronics industry has significant smooth transition effects, and most of the companies whose debt ratio, quick ratio, earnings per share and the exchange rate volatility significantly affects in stock returns between any threshold.