美元﹑黃金﹑油價的漲跌對東協五國股匯市的影響

本研究以非線性平滑移轉模型探討美元、黃金、油價的波動對泰國、馬來西亞、菲律賓、印尼、越南等五國股匯市的影響關係，並以美元指數作為門檻變數，觀察美元指數在低於或高於各自門檻時，美元、黃金、油價的漲跌如何對東協五國股匯市產生影響。本研究發現美元、油價的漲跌對泰國、馬來西亞、菲律賓、印尼、越南股匯市的影響為一致的顯著正相關。黃金在對泰國、馬來西亞、菲律賓、印尼、越南的匯率為不顯著負相關。近年來東協國家有著人口多、原物料豐富等因素，帶動它的經濟快速起飛。由於現在台灣投資者對東協國家的投資也愈來愈密切。所以希望能提供投資者在投資東協股匯市時能以美元指數、黃金、油價等指標來判定何時為進入市場投資能有較好報酬。

關鍵字

東協五國股匯市；美元指數；黃金；油價；平滑移轉模型

並列摘要

This study adopted the Non-linear Smooth Transition Model to explore the impact of US dollar, gold and oil price fluctuations on the stock and foreign exchange markets of the ASEAN five countries. In addition, with the US dollar index as the threshold variable, the impact of the US dollar, gold, and oil price fluctuations on the stock and foreign exchange markets of the five ASEAN countries when the US dollar index was lower or higher than the respective thresholds was observed. This study found that the impact of the US dollar and oil price fluctuations consistently produced a significantly positive correlation with the stock and foreign exchange markets of Thailand, Malaysia, the Philippines, Indonesia and Vietnam. Gold produced an insignificantly negative correlation with the foreign currencies of Thailand, Malaysia, Philippines, Indonesia, and Vietnam. In recent years, the ASEAN countries went through rapid economic takeoff due to their large population, richness of their raw materials and other factors. Nowadays, due to Taiwanese investors’ closer bonds with the ASEAN countries in terms of investments, it is expected that at the time of investing in the stock and foreign exchange markets in the ASEAN countries, investors can use the US dollar index, gold, oil price and other indicators to determine the time to enter market investments to receive better rewards.