(一)中文部份
1. 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,第二輯,第三期,99-117。
2. 王毓敏(1998),「台灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究」,台北銀行月刊,第二十八卷,第十二期,159-171。
3. 吳昭螢(2004),「貨幣政策、能源消費與景氣循環」,碩士論文,私立中原大學國際貿易所。
4. 邱哲修、邱建良、蘇英谷(2001),「台灣匯率波動對股價到酬之影響」,企銀季刊第二十四卷,第四期,131-147。5. 林于文(2003),「股價、匯價、利率傳遞效果之分析─多變量VAR-EGARCH的應用」,碩士論文,私立逢甲大學經濟所。6. 林建宇(2004),「匯率與股價不對稱因果關係之實證研究:以台灣為例」,碩士論文,國立東華大學國際經濟研究所。7. 施富鐘(2004),「市場波動性與股價波動性之長短期動態關係研究」碩士論文,國立中興大學企業管理所。8. 陳榮昌(2002),「匯率與股價報酬間外溢效果之多國分析」,碩士論文,國立雲林科技大學財務金融研究所。9. 張鳳貞(1999),「台灣地區利率、匯率與股價互動關係之研究」,碩士論文,國立中興大學統計學研究所。10. 鄭如芳(2000),「股市、匯市報酬及波動性之外溢效果分析」,私立淡江大學國際貿易學研究所碩士論文。11. 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,1-33。
12. 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,1-39。
13.賴宏忠、劉曦敏(1996),「利率、匯率與股價之長期均衡與因果關係-共整合分析法應用」,證券金融季刊,第49期,23-42。14.黎明淵,林修葳,郭憲章,楊聲勇,(2001) 「美、日股市巨幅波動下的股市連動效果-美國、日本與亞洲四小龍股市實證結果」,
2001年財務金融理論暨實務研討會,台灣財務學會。
(二)西文部份
1. Ajayi, R. A. and M. Mougoue (1996), On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19, 193-207.
2. Abdalla, I. S. A. and V. Murinde (1997), Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan, and Philippines. Applied Financial Economics, 7, 25-35.
3. Ajayi, R. A. J. Friedman, and S. M. Mehdian (1998), On the relationship between stock returns and exchange rates: Tests of Granger causality. Global Finance Journal, 9(2), 241-251.
4. Daniel, B.C. (1997), International interdependenced of national growth rates: a structural trends analysis, Journal of Monetary Economics, 40, 73-96.
5. Dotsey, Michael, and Milton Reid (1992), Oil Shocks, monetary policy, and economic activity, Federal Reserve Bank of Richmond Economic Review,78, 14-27.
6. Fang, W. S. (2002), The effects of currency depreciation on stock returns: evidence from five East Asian economics. Applied Economics Letters, 9, 195-199.
7. Fang, W. S. and S. M. Miller (2002), Currency depreciation and Korean stock market performance during the Asian Financial Crisis. Department of Economics, Universiry of Connectict, Working paper 2002-30.
8. Gredenhoff, M. and S. Karlsson. (1997), Lag-length selection in VAR models using equal and unequal lag-length procedures. Stockholm School of Economics. Working paper series in Economics and Finance,177.
9. Fang, H. and J. C. H. Loo (1996), Foreign exchange risk and common stock returns: A note on international evidence. Journal of Business Finance & Accounting, 23(3),473-80.
10. Gisser, Micha, and Thomas H. Goodwin (1986), Crude oil and the macroeconomy: tests of some popular notions, Journal of Money, Credit and Banking, 18, 94-103.
11. Granger, C. W. J. B. N. Huang, and C. W. Yang (2000), A bivariate causality between stock prices and exchange rates: Evidence from recent Asian Flu. The Quarterly Review of Economics and Finance, 40, 337-354.
12. Hamilton, James D.(1983), Oil and the macroeconomy since World War II, Journal of Political Economy, 91, 228-48.
13. Huang, C. H. (1989), Post-war Taiwan business cycle: evidence from international factor, Taiwan Economic Review, 17, 1-19.
14. Ibrahim, H. M. (2000), Cointegration and Granger causality tests of stock price and exchange rate interactions in Malaysia. ASEAN Economic Bulletin, 17, 36-47.
15. Janakiramanan, S. and A. S. Lamba. (1998), An empirical examination of linkages between Pacific-basin stock markets. Journal of International Financial Markets, Institutions and Money, 8, 155-173.
16. Kanas, A. (2000), Volatility spillovers between stock returns and exchange rate changes :international evidence, Journal of Business Finance & Accounting, 27, 447-467.
17. Kanas, A. (2002), Is exchange rate volatility influence by stock return volatility? evidence from the US, the UK and Japan, Applied Economics Letters, 1-3, preview article.
18. Kim, J. R. (2003), The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity. Economics Letters, 80, 155-160.
19. Ma, C. K. ,Kao, G. W. (1990), On exchange rate changes and stock price reactions, Journal of Business Finance & Accounting, 17 (3), 441-449.
20. Raymond J.E. and R.W. Rich (1997), Oil and the macroeconomy: A Markov State-Switching Approach, Journal of Money Credit, and Banking,29(2), 193-213.
21. 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 & Money, 13,237-254.
22. Smith, C. (1992), Stock markets and the exchange rate: a multi-country approach, Journal of Macroeconomics, 14,607-29
23. Oskooee, M. B. and A. Sohrabian (1992),Stock price and the effective exchange rate of the dollar , Applied Economics, 24,459-471.