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NoneYen, Chia-Hsin 09 July 2006 (has links)
¡@¡@The purpose of this research is to employ the STAR model in discussing and analyzing the relationship between stock index and macroeconomic variables in Taiwan, Japan and Korea.
¡@¡@Monthly stock market index data is analyzed over the period January 1990 to December 2000, with the sample period from January 2001 to April 2005 being used in an out-of -sample forecasting exercise. The macroeconomic variables considered in this paper include money supply, consumer price index, industrial production index, interest rate and exchange rate.
¡@¡@The empirical results of Taiwan, Japan and Korea show that LSTAR & ESTAR model improve both the in-sample fit and out-of-sample forecast of the data over both the linear model alternative.
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