Global financial crises proliferated risks throughout foreign exchange markets and ffected stock markets. In our study,we investigate whether exchange rate volatility has impacts on Taiwan stock risks and returns during financial crises. Granger causality tests were adopted to examine the effects of financial crisis. Vector autoregression and error correction models were applied in the tests. The empirical results based on all of the samples showed that theUS dollar exchange rate negatively influenced stock risks and returns before and after the financial crisis. Prior to the crisis, stock returns positively affected the exchange rate index, and the US dollar exchange rate negatively affected stock returns. In the post-crisis period, the US dollar exchange rate negatively influenced stock returns, and stock risks negatively influenced the US dollar exchange rate.
