中文文獻
王瑪如 (1994)，「股票、債券、外匯、黃金報酬率之因果關係與經濟變數關係
之研究」，台灣大學財務金融研究所碩士論文。
方文碩 (2001)，「匯率貶值對股票市場的衝擊－雙變量GARCH 模型」，台灣
金融財務季刊，第2卷，第3期，頁99-117。
方文碩、張富豪、林治邦 (1998)，「台灣地區貨幣數量、通貨膨脹與股票市場活動」，台灣銀行季刊，第49卷，第2期，頁37-57。
李承翰 (1998)，「金融風暴期間東亞各國股匯市間之整合關係」，成功大學企
業管理研究所碩士論文。
何國誠 (2004)，「金融風暴前後亞洲四小龍與美、日間股匯市之整合性及相互
關聯性」，國立中興大學財務金融研究所碩士論文。
邱建良、李命志、邱哲修 (1998)「匯率與股價之動態關係—香港與新加坡之實
證研究」，中國工商學報，第二十期。
馬黛 (1988)，「通貨膨脹與股票報酬之實證研究」，證券管理月刊，第5卷，第4期，頁11-16。
劉祥熹與李崇主 (2000)，「台灣地區外資、匯率與股價關聯性之研究─VAR 與
VECM 之應用」，證券市場發展季刊，第47期，頁1-39。
劉祥熹與張英信 (2000)，「東亞主要國家股價與匯率關聯性之研究」，證券金
融季刊，第67期，頁1-33。
英文文獻
Ajayi, R. A. and Mougoue, M. (1996) “On the Dynamic Relation between Stock
Prices and Exchange Rates,” The Journal of Financial Research, 19, 193-207.
Abdalla, I. S. A. and Murinde, V. (1997) “Exchange Rate and Stock Price Interactions
in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines,” Applied Financial Economics, 7, 25-35.
Balduzzi, P. (1995) “Stock Returns, Inflation and the Proxy Hypothesis’ : A new look at the Data,” Economics Letters, 48, 47-53
Campbell, J. C. and Vuolteenaho, T. (2004) “Inflation Illusion and Stock Prices,” National Bureau of Economic Research, 94, 19-23
Diaz, A. and Jareno, F. (2012) “Inflation News and Stock Returns : Market Direction
and Flow-Through Ability,” Empirical Economics, 42, 1-24
Erb, C. B., Harvey, C. R. and Viskanta, T. E. (1995) “Inflation and World Equity Selection,” Financial Analysts Journal, 51, 28-42
Fama, E. F. (1981) “Stock Returns, Real Activity, Inflation, and Money,” American
Economic Review, 71, 545-565
Fama, E. F. and Schwert, G. W. (1977) “Asset Returns and Inflation,” Journal of
Financial Economics, 5, 115-146
Gallagher, L. A. and Taylor, M. P. (2002) “The Stock Return – Inflation Puzzle Revisited,” Economics Letters, 75, 147-156
Geske, R. and Roll, R. (1983) “The Fiscal and Monetary Linkage between Stock Returns and Inflation,” The Journal of Finance, 38, 1-33
Gonza′lez, A., Terasvirta, T. and van Dijk, D. (2004) “Panel Smooth Transition
Regression Model and an Application to Investment under Credit Constraints,” Working papers.
Gonza′lez, A., Terasvirta, T. and van Dijk, D. (2005) “Panel Smooth Transition
Regression Models,” Working papers.
Gultekin, N. B. (1983) “Stock Market Returns and Inflation : Evidence from Other Countries,” The Journal of Finance, 38, 49-65
Hansen, B. E., (1996), “Inference when a Nuisance Parameter is Not Identified under
the Null Hypothesis,” Econometrica, 64, 413-430.
Hansen, B. E. (1999) “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference,” Journal of Econometrics, 93, 345–368.
Harris, E. S. (1991), “Tracking the Economy with the Purchasing Managers’ Index,”
Federal Reserve Bank of New York Quarterly Review, 16, 61– 69
Im, K. S., Pesaran, M. H. and Shin, Y. (2003) “Testing for unit roots in heterogeneous panels,” Journal of Econometrics, 115(1), 53-74.
Jorion, P. (1990) “The Exchange Rate Exposure of U.S. Multi-Nationals,” Journal of
Business, 63, 331-345.
Jansen, E. S. and Terasvirta, T. (1996) “Testing Parameter Constancy and Super Exogeneity in Econometric Equations,” Oxford Bulletin of Economics and Statistics, 58(4), 735-763.
Johnson, M. A. and Watson, K. J. (2011) “Can Changes in the Purchasing Managers''
Index Foretell Stock Returns? An Additional Forward-Looking Sentiment
Indicator,” Journal of Investing, 20, 89-98
Kim, K. H. (2002), “Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction Model,” Review of Financial
Economics, 12, 301–313.
Koenig, E. F. (2002) “Using the Purchasing Managers’ Index to Assess the Economy’s Strength and the Likely Direction of Monetary Policy,” Economic and Financial Policy Review, 1, 1-14
Lee, B. S. (1992) “Causal Relation Among Stock Returns, Interest Rates, Real Activity and Inflation,” The Journal of Finance, 47, 1591-1603
Levin, A., Lin, C. and Chu, C. J. (2002) “Unit Root Tests in Panel Data : Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108(1), 1-24.
Li, L., Narayan, P. K. and Zheng, X. (2010) “An Analysis of Inflation and Stock Returns for the UK,” Journal of International Financial Markets, Institutions and Money, 20, 519-532
Lundbergh, S., Terasvirta, T. and van Dijk, D. (2003) “Time-Varying Smooth Transition Autoregressive Models,” Journal of Business and Economic Statistics, 21(1), 104-121.
Luukkonen, R., Saikkonen, P. and Terasvirt, T. (1988). “Testing Linearity Against Smooth Transition Autoregressive Models,” Biometrika, 75, 491–499.
Maddala, G. S. and Wu, S. (1999). “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631-652
Nieh, C. C. and Cheng, F. L. (2001) “Dynamic Relationship between Stock Prices and
Exchange Rates for G-7 Countries,” The Quality Review of Economics and Finance, 41, 477-490.
Ram, R. and Spencer, D. E. (1983) “Stock Returns, Real Activity, Inflation, and Money : Comment,” The American Economic Review, 73, 463-470
Solnik, B. (1983) “The Relation between Stock Prices and Inflationary Expectations: The International Evidence,” The Journal of Finance, 38, 35-48
Stulz, R. (1986) “Interest Rates and Monetary Policy Uncertainty,” Journal of Monetary Economics, 17, 331-347
Soenen, L. A. and Hennigar, E. S. (1988) “Ananalysis of Exchange Rates and Stock
Prices – the U.S. Experience between 1980 and 1986,” Akron Business and Economic Review, 19, 7-16.
Shamsuddin, A. F. M. and Kim, J. H. (2003) “Integration and Interdependence of
Stock and Foreign Exchange Markets: an Australian Perspective,” International
Financial Markets, Institutions and Money, 13, 237-254.
Terasvirta, T. (1994), “Specification, Estimation, and Evaluation of Smooth Transition Utoregressive Models,” Journal of the American Statistical Association, 89, 208–218.
Terasvirta, T. (1998), “Modelling Economic Relationships with Smooth Transition
Regressions,” in Handbook of Applied Economic Statistics, ed. by A. Ullah, and D. E. A. Giles, 507–552.New York: Marcel Dekker
Wei, C. (2010) “Inflation and Stock Prices : No Illusion,” Journal of Money, Credit and Banking, 42, 325-345