全球區域經濟整合為國際經貿之普遍現象，有關國際股市之連動性亦為學者注意的議題之一，台灣與美國經貿關係緊密，相關文獻常得到兩國股價具有顯著相關性之結果，但近年台灣股價與美國股市似乎逐漸有脫勾之現象，本文試圖以傳統共整合分析法，探討兩國股價之關係，並納入平均數復歸的概念，比較分數共整合分析之結果，實證結果發現，美國道瓊工業指數、那斯達克指數與台灣大盤指數近年已不具任何共整合關係，但美國代表科技股的那斯達克指數與台灣電子類股股價之間仍然存在一組分數共整合關係，惟傳統整數共整合分析法不足以捕捉此一結果；另外，若進一步分別探討上漲與下跌期間，發現美國股市在空頭期間對台灣股市仍具有分數共整合關係'顯示台灣投資人在股價下跌時較為保守的心態。

This is a common situation in international relationships that regional economic integration globally becomes more and more strong. The topic about linkage of international capital markets was getting more interesting recent, for example: the American business trend affects the economy of Taiwan deeply. The researchers could find the evidences with the linkage between America and Taiwan stock prices. This paper tries to discuss the relationship using integer and fractional cointegration analysis to recheck the topic. We get the results as following: there are not cointegration relationships between Dow-Jones Industrial or NASDAQ Composite and Taiwan Weighted Average index. Besides that, NASDAQ Composite composed mainly by hi- Tec industry exists a fractional cointegration relationship with Taiwan-electrons index while Johansen cointegration test fail to support cointegrational pattern. If we focus the up or down trends, there is fractional cointegration relationship between the American stock and the Taiwan stock in the bear market.