本研究美元匯率與台灣、新加坡、菲律賓及馬來西亞四個國家各國股價匯率指數間及四國間股市價格指數之關聯,選取台幣兌美元匯率、台灣加權股價指數、新加坡幣兌美元匯率、新加坡富時海峽時報指數、菲律賓披索兌美元匯率、菲律賓馬尼拉綜合股價指數、馬來西亞令吉兌美元匯率及馬來西亞吉隆坡綜合股價指數月資料,探討美元匯率對各國股市之雙變數間及四國股市指數報酬間的相互影響。資料期間是從 2000 年 1 月 1 日到 2016 年 12 月 31 日,以向量自我迴歸模型(Vector Auto Regression)及向量誤差修正模型,分析各國股市報酬與美元匯率及四國間股市報酬之相互關連性,並以因果檢定(Granger Causality)分析四國間股市報酬及各國雙變數的領先與落後因果關係。其實證結果顯示,馬來西亞股市報酬會影響馬來西亞令吉兌美元匯率波動,菲律賓股市報酬與菲律賓披索兌美元匯率波動不會互相影響,新加坡股市報酬會影響新加坡幣兌美元匯率波動,臺灣股市報酬會影響新台幣兌美元匯率波動。進一步討論四國股市報酬因果關係,發現新加坡及台灣股市報酬會影響菲律賓股市報酬,馬來西亞股市報酬會影響新加坡及台灣股市報酬。
This paper examines the relationship between the US dollar exchange rate and the stock market among four countries: Taiwan, Singapore, the Philippines and Malaysia. The Taiwan dollar exchange rate index, the Singapore dollar against the US dollar, the Singapore FTSE The Straits Times Index, the Philippine Peso exchange rate, the Philippine Manila Composite Stock Index, the Malaysian Ringgit exchange rate and the Malaysian Kuala Lumpur Composite Stock Index, to explore the exchange rate between the US dollar and the quadrants of the stock market influences. The data period is from January 2000 to December 2016. The empirical results show that the stock market returns and exchange rate causal relationship for the Malaysian stock market will affect the Malaysian ringgit exchange rate volatility, the Philippine stock market returns and Philippine peso against the dollar exchange rate volatility will not cause each other, the Singapore stock market returns will cause the Singapore dollar The exchange rate against the US dollar will affect the volatility of the Taiwan dollar against the US dollar. Malaysia stock market return will cause Taiwan and Singapore stock market return. Singapore and Taiwan stock market return will cause Philippine stock market return.