In this study, we examine the asymmetrical nonlinear relationships and this paper employs the panel smooth transition regression model (PSTR) technique. We assume purchasing managers’ Index for transition variables in this model to investigate the smooth transition threshold effect between stock index returns. The results as follow: Wherther purchasing managers’ Index is before or after the transition threshold value, we can’t find a relationship between exchange rate and stock index returns. When purchasing managers’ Index is before the transition threshold value,we find a negative relationship between inflation index and stock index returns.When purchasing managers’ Index is after the transition threshold value,we find a positive relationship between inflation index and stock index returns.