The study adopted GARCH model to investigate the return and risk transmission effect of Japan Stock Market and Japanese Yen Exchange Rate to Taiwan Stock Market, in the period of 2010 to 2016. The amount of data is 1422 from the Taiwan Economic Journal Database. The empirical results indicate the return of Japanese Yen Exchange Rate influence the stock markets of Taiwan significantly. The estimate results of variance equation indicate that the variance is changeable by time series.