The study adopted GARCH model to investigate the return and risk transmission effect of RMB Exchange Rate and China Stock Market to Taiwan Stock Market, in the period of in the beginning of 2010 to February of 2016. The empirical results indicate the return of RMB Exchange Rate and the return of China Stock Market have negative influence to the the return of Taiwan stock markets. The influence of China Stock Market to Taiwan Stock Market is more Statistical significance than the influence of RMB Exchange Rate.