中文文獻
1. 方文碩 (2000),「通貨貶值對股市報酬與波動的衝擊:亞洲四小龍實證研究」,亞太管理評論,第五卷第四期,第451-465頁。2. 王冠閔、黃柏農 (2004),「臺灣股、匯市與美國股市關聯性探討」,臺灣經濟預測與政策,第三十四卷第二期,第31-72頁。3. 高志宏 (2003),「台灣、日本、南韓股匯市與美國股市相關性之實證研究-GARCH-in-Mean模式之應用」,私立東吳大學經濟學系碩士論文。4. 康信鴻 (2003),國際金融理論與實際,增訂三版,三民書局。
5. 康信鴻、曾林鈴 (2004),「匯率對股價的影響--以臺灣、香港、大陸B股市場為例」,臺灣銀行季刊,第五十五卷第二期,第212-236頁。6. 楊踐為、賴怡洵 (1998),「美、日、香港與台灣四地股價指數連動關係之探討」,台灣土地金融季刊,第三十五卷第二期(No.136),第1-15頁。
7. 劉祥熹、張英信 (2000),「東亞主要國家股價與匯率關聯性之研究」,證券金融,第六十七期,第1-33頁。英文文獻
1. Ajayi, R.A., Friedman, J. and Mehdian S.M. (1998), “On the relationship between stock returns and exchange rates: Tests of granger causality”, Global Finance Journal, Volume 9, Issue 2, pp.241-251.
2. Ajayi, R.A. and Mougoue, M. (1996), “On the dynamic relation between stock price and exchange rates”, Journal of Financial Research, Volume 19, Issue 2, pp.193-207.
3. Akaike, H. (1969), “Fitting autoregressive models for prediction,” Annals of the Institute of Statistical Mathematics, Volume 21, pp.243-247.
4. Chen, J., Naylor, M. and Lu, X. (2004), “Some insights into the foreign exchange pricing puzzle: Evidence from a small open economy”, Pacific-Basin Finance Journal, Volume 12, Issue 1, pp.41-64.
5. Devereux, M.B. and Lane, P.R. (2003), “Understanding bilateral exchange rate volatility”, Journal of International Economics, Volume 60, Issue 1, pp.109-132.
6. Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the estimators for autoregressive time series with a Unit Root”, Journal of the American Statistical Association, Volume 74, pp.427-431.
7. Engle, R, F, and Granger, C. W. J. (1987), “Cointegration and error correction: representation, estimation and testing”, Econometrica, Volume 55, pp.251-276.
8. Engle, R.F. and Yoo, B. (1987), “Forecasting and testing in Co-integrated system”, Journal of Econometrics, Volume 35, Issue 1, pp.143-159.
9. Granger, C. W. J. (1988), “Some recent development in a concept of causality”, Journal of Econometrics, Volume 39, Issues 1-2, pp.199-211.
10. Granger, C. W. J. and P. Newbold (1974), “Spurious regressions in econometrics”, Journal of Econometrics, Volume 2, Issue 2, pp.111-120.
11. Gujarati, D. (1999), Essentials of Econometrics, 2nd edition, McGraw-Hill.
12. Hamao, Y., Masulis R.W. and Ng V. (1990), “Correlation in price changes and volatility across international stock markets”, The Review of Financial Studies, Volume 3, pp.281-307.
13. Kim, K.H. (2003), “Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model”, Review of Financial Economics, Volume 12, Issue 3, pp.301-313.
14. Ma, C.K. and Kao, G.W. (1990), “On exchange rate changes and stock price reactions”, Journal of Business Finance & Accounting, Volume 17, Issues 3, pp.441-449.
15. MacKinnon, J. G. (1991), Critical Values for Cointegration Tests, Chapter 13: IN Long-run Economic Relationships: Readings in Cointegration, edited by Engle, R.F. and Granger, W.J., Oxford University Press.
16. Maddala, G.S. (2001), Introduction to Econometrics, 3rd edition, John Wiley & sons, LTD.
17. Masih, R. and Masih, A.M.M., (2001), “Long and short term dynamic causal transmission amongst international stock markets,” Journal of International Money and Finance, Volume 20, Issue 4, pp.563-587.
18. Morley, B. (2002), “Exchange rates and stock prices: implications for European convergence”, Journal of Policy Modeling, Volume 24, Issue 5, pp.523-526.
19. Nieh, C.C. and Lee, C.F. (2001), “Dynamic relationship between stock prices and exchange rates for G-7 countries”, The Quarterly Review of Economics and Finance, Volume 41, Issue 4, pp.477-490.
20. Pippenger, J. (2003), “Modeling foreign exchange intervention: stock versus stock adjustment”, Journal of International Financial Markets, Institutions and Money, Volume 13, Issue 2, pp.137-156.
21. Shamsuddin, A.F.M. and Kim, J.H. (2003), “Integration and interdependence of stock and foreign exchange markets: an Australian perspective”, Journal of International Financial Markets, Institutions and Money, Volume 13, Issue 3, pp.237-254.