The dynamics relations between exchange rate and stock price have been concerned by many economists. Exchange rate and stock prices are indeed on the impact of a country’s economic development. The relationship between exchange rate and stock prices are often used to predict future trends among their own. In an open economy, the forecast relative currency values affect the overall domestic economic variables. First ,this article will use the co-integration analysis to verify the concept of domestic-oriented stock prices and exchange rates in Taiwan which having long-run existence of the phenomenon of co-integration. If there’s no long-run co-integration relationship. We will use Generalized AutoRegressive Conditional Heteroskedasticity model(GARCH) and Granger causality test to capture the causality between rate of return of each current domestic-oriented stocks and current exchange rate’s volatility. That is ,changing in exchange rate market will affect the domestic-oriented stock price.