Title page for etd-0709106-222447


[Back to Results | New Search]

URN etd-0709106-222447
Author Chia-Hsin Yen
Author's Email Address m926040021@student.nsysu.edu.tw
Statistics This thesis had been viewed 5331 times. Download 4788 times.
Department Economics
Year 2005
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title None
Date of Defense 2006-06-06
Page Count 63
Keyword
  • BDS
  • Smooth Transition Autoregressive model
  • Root Mean Squared Error
  • Ljung-Box Q
  • Abstract   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.
    Advisory Committee
  • Ming-Jang Weng - chair
  • So-De Shyu - co-chair
  • Jyh-Lin Wu - advisor
  • Files
  • etd-0709106-222447.pdf
  • indicate in-campus access immediately and off_campus access in a year
    Date of Submission 2006-07-09

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys