美元指數與新興亞洲股市之關聯性研究

The Study on the Relationship between U.S. Dollar Index and Emerging Asian Stock Markets

本研究之研究期間訂為2015年12月18日至2022年2月25日，使用週資料，並將2019年8月2日（五）作為美國貨幣政策緊縮及寬鬆之分野。本研究以美元指數期貨作為美元指數的代理變數，此因期貨具有價格發現的功能。經領先落後關係的實證過程，以下為本研究之結論：
美元指數期貨價格與馬來西亞股市ETF價格互相領先一週反向變動，兩者互為領先指標，此外美元指數期貨價格分別單向領先新加坡及印度股市ETF一週正向變動，亦即當美元指數期貨價格上漲時，外資仍繼續投資兩股市。最後，泰國及越南是東南亞的產油國，兩國家的股市ETF領先美元指數期貨價格一週反向變動，亦即此兩國股市ETF是美元指數期貨價格的領先指標。

The time period of this study is set from December 18, 2015 to February 25, 2022, using weekly data, and taking August 2, 2019 (Friday) as the dividing line between tightening and easing of U.S. monetary policy. The U.S. dollar index futures are used as the proxy variable of the US dollar index in this study, because the futures have the function of price discovery. After the empirical process of lead-lag relationship, the following conclusions were obtained in this study:
The prices of U.S. dollar index futures and the Malaysian stock ETF mutually moved ahead in the opposite direction one week and were leading indicators of each other. In addition, the price of U.S. dollar index futures positively led the Singapore and Indian stock ETF prices one week, which means that when the price of U.S. dollar index futures rose, foreign investors continued to invest in these two stock markets. Finally, the stock ETF prices of Thailand and Vietnam, which are oil-producing countries in Southeast Asia led the price of U.S. dollar index futures and move in the opposite direction for one week. That is to say, the stock ETF prices of these two countries were the leading indicator of the price of U.S. dollar index futures.