本文就中央銀行的貨幣政策對臺灣股票市場報酬率反波動性的影響力是否穩健與一致，以二元時間序列與跨部門進行實證分析。用大盤加權股價指數及十八種產業類股指數十年的報酬率資料，分析貨幣政策的改變對股票報酬率與波動性的影響力是否維持一致，或者有加深或減弱的現象。並探討在不同的貨幣政策下，股票的報酬與風險之關係。 我們的實證發現股市大盤指數的報酬率受貨幣政策的影響很大，並且此影響力沒有減弱的現象。在股票報酬率的波動方面，發現在緊縮貨幣政策期間，股市波動程度顯著地大於在貨幣政策寬鬆期間的波動程度。此外，實證顯示，大盤指數在緊縮貨幣政策期間，風險與報酬沒有關係，但是在寬鬆期間，風險與報酬有顯著的正相關。在產業類股方面，我們的實證發現貨幣政策的寬鬆與緊縮對其中十三種產業類股的報酬率有顯著的影響，其餘五種則不論在貨幣政策寬鬆或緊縮時期，報酬率均無太大差異。貨幣政策影響加深的產業有十項，而受貨幣政策影響程度下降的有八項類股。在風險與報酬平之間的關係顯示出，太多數的類股指數報酬率，不論是在貨幣政策緊縮或寬鬆期間，股票風險的大小，對報酬率並沒有影響。

This paper examines the effect of the monetary policy on the returns of the Taiwan stock market as well as changes of volatility through empirical tests. The purpose of this thesis is two-fold: to analyze the vertical time series and examine a cross-section of industries. For purposes of the time series analysis, the data for stock market returns and 18 industry indices for 10 years are analyzed to determine whether changes in the monetary policy are consistent with the effects of returns of stocks as well as volatility or if there are signs of either weakening or strengthening. The results of the analyses have shown that there was a statistical significance of the difference in return as well as volatility between restrictive and expansive monetary policy periods and shows no signs of weakening. In regards to the possible relationship between the risk and the rate of return, analysis of the data has shown that in the restrictive period, there has been no correlation with risks and returns while in the expansionary monetary policy period, investors will seek greater returns during periods of higher risk. Of the eighteen industry sector stocks, the empirical evidence revealed that monetary policy has mixed impact on the return rates. In terms of relationship between risk and return, in most industry sectors, there are no signs of such relations, meaning the degree of risk would not affect the size of returns.