| Summary: | 碩士 === 國立成功大學 === 財務金融研究所在職專班 === 101 === This study investigates the interactions of equity and currency markets of the ASEAN five countries with those of the top three major economies, the United States, the euro area, and China. Through descriptive statistics, correlation analyses, time series unit root tests, co-integration analyses and Granger causality tests, I examine the movement of the global investment funds toward the frontier markets due to the slowing down of the U.S. economy, the European debt crisis, and the slowing down of the China economy in recent years. The study takes the ASEAN five countries as an example of providing the investment in the choices of asset allocation, especially for the choices of equity funds in the Asian region.
The empirical results show that the investment on equity and currency markets in the ASEAN five countries has a higher average rate of return and a lower volatility, and is complementary to the biggest manufacturing country, China in Asia. Because of the rising labor costs resulted from wage increase in China, part of the manufacturing sectors of the world's major economies may move to the ASEAN countries, and thus leads to the economic development of these ASEAN countries. Therefore, for the investors in the choice of investing in emerging Asia, particularly on both the OEM market and the domestic demand market, the ASEAN countries are important choices for their asset allocation.
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