¡@¡@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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0709106-222447 |
| Date | 09 July 2006 |
| Creators | Yen, Chia-Hsin |
| Contributors | Jyh-Lin Wu, Ming-Jang Weng, So-De Shyu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0709106-222447 |
| Rights | off_campus_withheld, Copyright information available at source archive |
Page generated in 0.0016 seconds