台灣因本身自然資源並不豐富，屬於典型的開放性海島經濟，對國際貿易依存度高。匯率是重要的影響台灣總體經濟因素。因亞洲金融風暴影響，導致台幣兌美元匯率大幅貶值。本篇論文旨在探討，自民國86年7月始，新台幣大幅貶值，此項匯率的巨幅波動（波動期）與83年7月至86年6月間（平穩期），究竟對上市公司的營業績效及上市公司的股票報酬，是否造成不同之影響。利用營業利潤受匯率變動的影響，來解釋公司的外匯風險，進一步探討匯率變動與上市公司股票異常報酬的關係。 探討匯率變動對公司營業利潤的影響，可藉由契約，外匯換算或競爭效果表現出來。所謂契約效果是公司在國際貿易的環境下，有不可取消的外匯合約，造成營業利潤該增加而未增加，或應減少而未減少，立即反映出來對公司營業利潤的影響。外匯換算效果是指公司擁有國外子公司，當國外子公司匯寄外幣現金回母公司時，因受匯率變動而產生的風險，會在財務報表上反映出來．競爭效果是指因進出口貿易頻繁，匯率變動會影響公司的競爭情勢，通常不會立即直接的反映出來，而是間接的影響公司的銷貨收入和進貨成本，而延後反映在財務報表上。本研究試圖檢視匯率變動對公司利潤的影響是立即反映，還是延後反映，以瞭解哪一個效果較顯著。 此外，本研究也檢視匯率變動對公司股票異常報酬變動的影響是立即或延後反映，以瞭解投資者對於匯率變動對股價變動影響認知的反應程度。當企業受匯率變動而產生會計或經濟風險時，任何對公司價值之影響，在效率市場的情形下，應當會立即反映在股票價格上。 本研究實証結果發現，匯率平穩期，契約及競爭效果顯著。但在匯率波動期，契約及競爭效果不顯著。台灣股市，不論在匯率平穩期或波動期，匯率波動皆對公司當季股票異常報酬有顯著影響力，顯示台灣股市投資人十分重視匯率走向。平穩期或波動期，匯率變動會遞延影響公司股票異常報酬，間接驗証台灣股市非為效率市場。同時，以出口為導向的產業，匯率變動對該產業的股票異常報酬有顯著的影響。 關鍵詞：匯率變動、營業利潤、股票異常報酬 / The purpose of this paper is to identify the categories of exposure that are most likely to effect company's operating income and the observed association between exchange rate changes and abcdrmal stock returns. The period examined in this paper is July 1994 to December 1997. This period examined is divided .One is July 1994 to June 1997(Exchange rate changes wave is flat) and the other is July 1997 to December 1997(Exchange rate changes wave is inflectional). This paper attempts to understand the different associations among operating income exchange rate changes and abcdrmal stock returns between July 1994 to June 1997 and July 1997 to December 1997. This paper finds that contractual effects and competitive effects are most likely to explain impact of exchange rate changes and unexpected operating income in July 1994 to June 1997. The association between exchange rate changes and abcdrmal stock returns is at relatively high significance levels between July 1994 to June 1997 and July 1997 to December 1997. The Taiwan Stock market investors have more attention on exchange rate changes waves. The a-quarter lagged relation between exchange rate changes and abcdrmal stock returns are at relatively high significance levels in July 1994 to June 1997. The a-quarter and two-quarter lagged relation between exchange rate changes and abcdrmal stock return are at relatively high significance levels in July 1997 to December 1997. This result examines Taiwan stock market is inefficiency Keywords: operating income, exchange rate changes, abnormal stock returns