本研究以東南亞五個國家（印尼、馬來西亞、菲律賓、新加坡、泰國）為研究對象，綜合運用多元時序分析方法如Granger因果分析、衝擊反應分析及預測誤差變異數分解(FEVD)等工具，深入探討2012至2022年間，美國資本流動對於這些國家股價指數和匯率的影響，以及這些變數間是否存在顯著的領先落後關係。實證結果顯示，東南亞各國股價指數、匯率與美國的資本流動之間的關係各異。對於印尼，美國資本流動的過去資料對股價的現值具有顯著的預測力；對於菲律賓，股價的過去值對外資流入的現值具有一定的預測力。然而，在馬來西亞、新加坡和泰國的資料中，並未發現明顯的領先落後關係。

This study focuses on five Southeast Asian countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand) and employs a comprehensive application of multivariate time series analysis methods such as Granger causality analysis, impulse response analysis, and forecast error variance decomposition (FEVD). The objective is to delve deep into the influence of US capital flows on these countries' stock price indices and exchange rates from 2012 to 2022, as well as to determine if there exist significant lead-lag relationships among these variables. Empirical results show varying relationships between the stock price indices, exchange rates, and US capital flows across these Southeast Asian nations. For Indonesia, historical data of US capital flows significantly predicts the current value of its stock prices. For the Philippines, past values of stock prices possess a certain predictive power on the present value of foreign capital inflows. However, no evident lead-lag relationships were identified from the data in Malaysia, Singapore, and Thailand.

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