本文以2011年12月至2022年12月為樣本期間，以東協六國之大盤指數、匯率，及美資於東協六國之長期淨買賣超數據為樣本，透過Panel ARDL及誤差修正模型，探討美資於東協之長期買賣超，與東協股市大盤、匯率間，是否存在關係，及變數於長短期間之動態調整關係。

研究結果顯示，於長期均衡關係下，美資於東協研究對象國之淨買賣超，均對匯率、大盤指數之變動呈現單向顯著影響。東協國家長期下匯率之表現，亦受到大盤指數之影響，反之亦然，說明東協於長期均衡下，股匯為相互影響之雙向關係。

Panel ARDL-ECM實證結果發現有四：1. 美國資本於東協國家的淨買賣超，對東協國家匯率的升貶值產生實質影響。2. 東協大盤指數的表現，僅前期市場指數變化對本期市場指數變化有顯著影響。3. 當期匯率和大盤指數的變動顯著影響當期之長期買賣超數據變動。4. 於誤差修正模型中，僅匯率具收斂至長期均衡關係，而大盤指數和長期買賣超數據並未具向長期均衡收斂之關係。

綜上所述，本研究補強了臺灣對於外資於東協投資之研究，及東協六國之股匯相對關係與共整合收斂關係。並依其結果提供投資建議。

The research findings indicate that in the long-term equilibrium relationship, the net buying and selling activities of US capital in the ASEAN countries significantly influence the fluctuations of exchange rates and stock market indices. The long-term performance of exchange rates in ASEAN countries is also influenced by stock market indices, and vice versa. This demonstrates a mutual influence between stocks and exchange rates in ASEAN in the long-term equilibrium.

The empirical results from the Panel ARDL-ECM reveal four key points: 1. Net buying and selling activities of US capital in ASEAN countries have a substantial impact on the appreciation or depreciation of ASEAN countries' exchange rates. 2. The performance of ASEAN stock market indices is significantly influenced by changes in previous periods' market indices. 3. The fluctuations in current exchange rates and stock market indices significantly affect current capital flows. 4. In the Error Correction Model, only exchange rates converge to the long-term equilibrium relationship, while stock market indices and capital flows do not exhibit a convergence relationship toward long-term equilibrium.

In summary, this study contributes to Taiwan's research on foreign investment in ASEAN and the relative relationship between stock market indices and exchange rates in the six ASEAN countries, as well as their co-integrative convergence relationship.

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