由於全球化和自由化的關係，資本移動和全球金融市場皆會受到影響，尤其是在外匯和資本市場。台灣屬於小型開放經濟體系，與全球經濟體系連結時，台灣股市受到世界的變化所影響，若發生金融風暴時，台灣亦不可能置身事外。因此本文分析匯率、利率與股票市場中外資買賣超在全球金融風暴與歐債危機期間相互影響之關係，利用Hatemi–J and Irandoust (2000) 匯率與利率因果關係之模型做為實證理論模型，而外資買賣超視為解釋變量，以2008年1月2日至2012年11月15日之日資料做為研究時間。運用單根檢定來檢測變數是否為非定態、向量誤差修正模型和Granger因果關係則是評估變數間之關係、衝擊反應分析與變異數分解分析為變數間互動關係。研究結果發現，在短期，全球金融風暴期間外資買賣超會單向影響匯率與利率；長期而言，全球金融風暴與歐債危機存在匯率影響利率之關係，而資金進出是可以自由移動，但中央銀行可以利用外匯存底進場操作匯率，對於匯率進行干預的動作，使得資金自由移動的程度受到抵消。因此，藉由實證結果顯示，當發生金融風暴時，中央銀行可以採取調整匯率的方式來減少國外資金對於台灣金融體系的衝擊。 Capital movement and national commerce has a widely impact on finance market due to globalization and liberalization, particularly at exchange and capital markets. Connecting to global economic system, Taiwan’s stock market is deeply affected by world’s change, including the financial tsunami during the euro zone’s debt crisis (2008/1~2012/11). This article attempts to examine the relationships among exchange rate, interest rate, and foreign flow. It adopts Hatemi-J and Irandoust’s (2000) model to measure the causal relation between exchange and interest rates, treating foreign trading as an explanatory variable. Applying the ADF unit root test to detect the non-stationarity, we use error correction model and Granger causality to evaluate their relationship. Moreover, impulse response and variance decomposition analysis are used to evaluate the influence pattern. The results present that foreign capital flow has a strong effect on exchange rate and interest rate during the global financial crisis in the short run. The exchange rate has a strong effect on interest rate during the global financial crisis and euro zone’s debt crisis in the long run, implying capital’s mobility is sticky and foreign capital flow into the stock market may be affected.
