| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 101 === The purpose of the paper is to analyze the relationship of the AFTA stock markets
from March, 2010 to March, 2013. The ASEAN-6 countries include Singapore,
Malaysia, Philippine, Thailand, Indonesia, and Vietnam. Unit root test, vector auto
regression, Granger causality test, forecast error variance decomposition model and
impulse response function are used for the analysis. The result shows that the index
fluctuations of the other five countries have no impact on Vietnam. On the other hand,
Vietnam has no influence on the other counties in this area. The type of Vietnamese
stock market is more independent. Singapore is the most influential country in this area.
Aside from that, Singapore is unacted on the influence of the index fluctuations caused
by other countries in this area. The short term dynamic transmission route in sequence is
Thailand, Philippine, Malaysia, Indonesia. Malaysia, Philippine, Thailand, and
Indonesia have mutual relationships with each other and furthermore, they are
influenced by Singapore. Singapore is able to predict the index fluctuations of Malaysia,
Philippine, Thailand, and Indonesia. Vietnam is an exception. It is not viable to reduce
the risk by diversifying and making multinational investment in the stock markets
around this area.
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