The essence of this study is to investigate the relationship between foreign exchange rates and stock prices in Taiwan. the objective to this investigation is to verify whether the foreign exchange rate is a leading factor to Taiwan's stock market. The foreign exchange rate in this study is the exchange rate between US dollar and new Taiwan dollar. The correlation analysis is used to verify the relationship between foreign exchange rate and Taiwan's stock market. The data used in this study covers from 2006 to 2016. The result shows that negative correlation exsits between the foreign exchange rate and Taiwan's stock market in short-term period. The moving average technigue is also used to determine the buying and selling profit of Taiwan's stock market based on the signal form the foreign exchange rate. A statistical analysis is done to test the significance of the investment based the proposed technique.