| Summary: | 碩士 === 國立中山大學 === 經濟學研究所 === 94 === 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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