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。

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.

目錄
論文名稱：美元、黃金、油價的漲跌對東協五國股匯市的影響	I
圖目錄	III
第一章 緒論	1
第一節 研究背景動機	1
第二節 研究目的	6
第三節 研究流程與架構	7
第二章 文獻探討	9
第一節 美元匯率﹑黃金﹑油價相關文獻	9
第二節 東協五國相關文獻	12
第三章 研究方法	18
第一節 單根檢定法	18
第二節 平滑移轉迴歸模型	23
第四章 實證結果與分析	30
第一節 研究資料	30
第二節 敘述統計	33
第三節 單根檢定	35
第四節 模型參數與分析	38
第五章 結論	46
圖目錄
圖1-1-1美元指數近20年的走勢及經歷風暴圖	2
圖1-1-2黃金近20年的走勢圖	3
圖1-1-3石油近20年的走勢圖	4
圖1-3-1研究流程圖	8
圖3-2-1邏輯型函數圖形	27
圖3-2-2指數型函數圖形	28
圖4-4-1東協5國股市之轉換函數	41
圖4-4-2東協五國匯市之轉換函數	45













表目錄
表4-1-1東協五國最近5年股票市場市值平均佔比	31
表4-1-2東協5國最近5年進﹑出口貿易平均佔比	32
表4-2-1各變數敘述統計量	34
表4-3-1變數單根檢定	37
表4-4-1美元指數、西德州原油及紐約金價對東協五國股市之模型估計	40
表4-4-2美元指數、西德州原油及紐約金價各解釋變數對東協五國股市的影響關係	41
表4-4-3美元指數、西德州原油及紐約黃金價格對東協五國匯市之模型估計	44
表4-4-4各解釋變數對東協五國匯市的影響關係	45

中文文獻
呂瑞秋、陳淑華 (2016)，黃金價格與股價指數、石油價格及波動率指數關係之研究，臺灣銀行季刊，第63卷第2期
范光陽 (2014)，印尼與汶萊產業發展及商機，中華民國對外貿易發展協會
許璋瑤 (2018)，聚焦新南向，IPO市場新航向，證券服務，第667期.
莊上逸 (2018)，新南向政策對IPO之機會與挑戰(一)星、馬、泰資本市場競爭力分析，證券服務，第667期.
葉志權、楊永列、張倉耀 (2012)，匯率與股價的動態共移效果分析:亞洲 8 國實證探討，中原企管評論，第10卷第2期，23-49.








英文文獻
Adam, Pasrun, Adam, Pasrun, Rosnawintang, Rosnawintang, Nusantara, Ambo Wonua and Muthalib, Abd Aziz. (2017), “A Model of The Dynamic of The Relationship Between Exchange Rate and Indonesia's Export,” International Journal of Economics and Financial Issues, Mersin, 7(1), 266-261 
Ahmed, Faisal and Singh, Vipul Kumar. (2016), “Financial Integration among RCEP (ASEAN+6) Economies: Evidences from Stock and Forex Markets,” South Asian Journal of Management, New Delhi, 23(1), 164-188.
Bahmani-oskooee, Mohsen and Harvey, Hanafiah. (2017), “ Exchange rate volatility and commodity trade between the U.S. and the Philippines,” International Economics and Economic Policy, Heidelberg, 14(2), 263-291.
DOI:10.1007/s10368-016-0336-4
Beckmann, Joscha and Czudaj, Robert. (2013), “Oil and gold price dynamics in a multivariate cointegration framework,” International Economics and Economic Policy, 10(3), 453-468. DOI:10.1007/s10368-013-0237-8
Dolado, J. J., Jenkinson, T. and Sosvilla‐Rivero, S. (1990), “Cointegration and Unit Roots.,” Journal of Economic Surveys, 4(3), 249-273.
Granger, C. W., and Terasvirta, T. (1993), Modelling Non-Linear Economic Relationships, Oxford University Press.
Hossain, Monzur. (2011), “Exchange Rate Regime Transition Dynamics in Southeast Asia,” The Journal of Developing Areas, 45(1), 359-373.
Ibrahim, Yusnidah and Olajide, Raji Jimoh. (2018), “Cross-border merger and acquisition activities in Asia: the role of macroeconomic factors,” Studies in Economics and Finance, Bradford, 35(2), 307-329.
 DOI:10.1108/SEF-06-2017-0146
Jarungkitkul, Wanida and Sukcharoensin, Sorasart. (2016), “Benchmarking the competitiveness of the ASEAN 5 equity markets,” Benchmarking, Bradford, 23(5), 1312-1340. DOI:10.1108/BIJ-05-2014-0047
Kisswani, Khalid M, Harraf, Arezou, Kisswani and Amjad M. (2018), “Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries,” Economic Change and Restructuring, 1-22. 
	DOI:10.1007/s10644-018-9229-6 
Kwiatkowski, D., Phillips, P. C., Schmidt, P. and Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics, 54(1-3), 159-178.
Lau, Wee-Yeap and Go, You-How. (2018), “Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?” Asia-Pacific Financial Markets, 25(2), 137-157. 
	DOI:10.1007/s10690-018-9244-7
Le, Thai-Ha. (2017), “Does economic distance affect the flows of trade and foreign direct investment? Evidence from Vietnam,” Cogent Economics & Finance, 5(1). Published online. DOI:10.1080/23322039.2017.1403108
Lin, Fu-Lai, Chen, Yu-Fen and Yang, Sheng-Yung. (2016), “Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time-frequency space,” International Review of Economics & Finance, 43, 59-71.
Lodha, Shilpa. (2017), “A Cointegration and Causation Study of Gold Prices, Crude Oil Prices and Exchange Rates,” IUP Journal of Financial Risk Management, Hyderabad, 14(1), 55-66.
Malliaris, A. G. and Malliaris, Mary. (2013), “Are oil, gold and the euro inter-related? Time series and neural network analysis,” Review of Quantitative Finance and Accounting, New York, 40(1), 1-14. DOI:10.1007/s11156-011-0265-9
Nair, Girish Karunakaran, Choudhary, Nidhi and Purohit, Harsh. (2015), “The Relationship between Gold Prices and Exchange Value of US Dollar in India,” Emerging Markets Journal, Pittsburgh, 5(1), 17-25. DOI:10.5195/emaj.2015.66
Nelson, C. R., and Plosser, C. R. (1982) “Trends and Random Walks in Macroeconmic Time Series: Some Evidence and Implications.” Journal of Monetary Economics, 10(2), 139-162.
Obi, Pat, Abuizam, Raida and Sil, Shomir. (2018), “An ARDL Model on Oil Price, Exchange Rate and Implied Volatility,” Journal of Global Business and Technology, 14(1), 1-13.
Randhawa, Dipinder S. (2011), “Banking and Capital Market Reforms in Malaysia,” ASEAN Economic Bulletin, 28(3), 388-413. DOI:10.1355/ae28-3g
Said, S. E. and Dickey, D. A. (1984), “Testing For Unit Roots in Autoregressive-Moving Average Models of Unknown Order.,”  Biometrika, 71(3), 599-607.
Sheera, Ved Pal and Bishnoi, Ashwani. (2013), “Financial Deepening of Selected ASEAN Nations,” Malaysian Journal of Economic Studies, Kuala Lumpur, 50(1),  79-100.
Tuna, Gülfen. (2017), “Time Varying Causality between Gold and Oil Prices,” Romanian Economic and Business Review, 12(1), 59-67.
Varkkey, Helena. (2017), “MALAYSIA IN 2016: Persistent Crises, Rapid Response, and Resilience,” Southeast Asian Affairs, 203-219.
Verico, Kiki. (2015), “Open-Ended Impact of AFTA on FDI inflows: Evidence from Macro-level data of Indonesia, Malaysia, Thailand and Firm-level data of Indonesia,” Journal of Economic Cooperation and Development, 36(2), 91-123.
Wang, Yu Shan and Chueh, Yen Ling. (2013), “Dynamic Transmission Effects between the Interest Rate, the US Dollar, and Gold and Crude Oil Prices,” Economic Modelling, 30, 792-798.
Yolanda. (2017), “Impacts of Export Development on Unemployment in Indonesia,” European Research Studies, 20(3), 758-773.