本篇論文主要探討美國及其主要貿易國匯率與股票市場之間的相關性，在經過全球金融風暴這個重大事件後，他們之間開始呈現出不對稱相關性的現象。藉由 2005 年至 2010 年美國、加拿大、墨西哥匯率與股票市場的資料，我們觀察到匯率與股票市場的不對稱相關現象，並利用不同的關聯結構函數 (Copula) 找出最適合其資料的模型。資料的投資期間主要分成月報酬率、季報率、半年報酬率及年報酬率，研究發現不同長度的投資期間，皆會發生不對稱的現象。而不對稱的現象會隨著投資期間增長，變得越來越明顯。Using the data of exchange rates and stock markets between 2005 and 2010 for United States, Canada and Mexico, this thesis studies the correlation between the exchange rates and the stock markets after the global financial crisis. We observe the asymmetry structure of the exchange rates and the stock markets, and identify the most suitable model by different copula models. The investment periods of data are including: monthly return, seasonally return, half-yearly return and yearly return. We find the phenomenon of asymmetric dependence in each investment periods. However, the asymmetry is more obvious as the investment period increases.
