第一部份
中文部份
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,5:4,451-465。2.李承翰(1998),金融風暴期間東亞各國股匯市之整合關係,國立成功大學企管系碩士論文。3.林少龍(1998),由供給面分析外人來台直接投資的決定因素,亞太管理評論,3:1,59-72。4.侯美惠(2004),貨幣政策、產出目標區與股價,經濟研究,40:2,145-180。
5.劉憶如(2004),外資在台灣證券交易市場角色之研究,中央信託局92年度年報,526-570。
英文部分
1.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.
2.Aquino, R. Q. (2005), “Exchange Rate Risk and Philippine Stock Returns: before and after the Asian Financial Crisis.” Applied Financial Economics, 15, 765-784.
3.Bahmani-Oskooee, M. and A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rate of the Dollar.” Applied Economics, 24, 459-464.
4.Chen, D. Y. (2005), “Foreign Direct Investment in the United States: Interest Rate and Exchange Rate.” Southern Business Review, 31(1), 1-12.
5.Demos, A., F. Filippaios, and M. Papanastassiou (2004), “An Event Study Analysis of Outward Foreign Direct Investment: The Case of Greece.” International Journal of the Economics of Business, 11, 329-345.
6.Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistics Association, 74, 427-431.
7.Fang, W. S. and S. M. Miller (2002), “Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis.” Department of Economics, University of Connectict, Working Paper 2002-30.
8.Frenkle, J. A. and M. Goldstein (1986), “A Guide to Target Zones.” IMF Staff Papers, 33, 633-673.
9.Gastanaga, V. M., J. B. Nugent, and B. Pashamova (1998), “Host Country Reforms and FDI Inflows: How Much Difference Do They Make?” World Development, 26, 1299-1314.
10.Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics.” Journal of Econometrics, 2, 111-120.
11.Kamath, R. (2005), “Media Stocks up on FDI Announcement.” Businessline, 20050701, 1.
12.Kerr, I. A. and M. P. Vasanthi (2001), “The Determinants of Foreign Direct Investment in China,” the 30th Annual Conference of Economists, University of Western Australia, Perth, Austria.
13.Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics.” Quarterly Journal of Economics, 106, 669-682.
14.Nabende, A. B. (2002), “Foreign Direct Investment Determinants in Sub-Sahara Africa: A co- integration analysis.” Economic Bulletin, 6, 1-19.
15.Nguyen, N. B. and J. Haughton (2002), “Trade Liberalization and Foreign Direct Investment in Vietnam.” ASEAN Economic Bulletin, 19, 302-318.
16.Phylaktis, K. and Y. Kassimatis (1994), “Does the Real Exchange Rate follow a Random Walk? The Pacific Basin Perspective”, Journal of International Money and Finance, 13, 476-49
17.Sims, C. A. (1980), “Macroeconomics and Reality.” Econometrica, 48, 1-48.
18.Soenen, L. and E. Henniger (1988), “An Analysis of Exchange Rates and Stock Prices - The US Experience between 1980 and 1986.” Akron Business and Economic Review, 19, 7-16.
19.Solnik, B. H. (1984), “Stock and Money Variable: The international evidence.” Financial Analyst Journal, 69-73.
20.Werner, A. M. (1992), “Exchange Rates and Target Zone Width.” Economics Letters, 40, 455-457.
21.Yang, Y. Y., N. Groenewold, and M. Tcha (2000), “The Determinants of Foreign Direct Investment in Australia.” The Economic Record, 76, 45-54.
第二部份
中文部份
1.余尚武與王俞瓔(1999),日經股價指數期貨與現貨市場之評價、關聯及避險,管理評論,5,1-33。
2.黃營杉、古永嘉與蔡垂君(2001),緩長記憶模式應用於期貨與現貨領先-落後關係之研究:以台灣股價指數期貨及摩根台灣股價指數期貨為例,輔仁管理評論,8:2,73-116。英文部分
1.Abhyankar, A. (1995), “Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets.” The Journal of Futures Markets, 15, 457-488.
2.Anthony, J. H. (1988), “The Interrelation of Stock and Option Market Trading –Volume Data.” Journal of Finance, 43:9, 49-64.
3.Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, 31, 307-327.
4.Boluch M. J. and T. W. Chamberlain (1997), “Option Volume and Stock Price Behavior: Some Evidence from the Chicago Board Options Exchange.” Atlantic Economic Journal, 25:4, 358-370.
5.Chu, Q. C., W. G. Hsieh, and Y. Tse (1999), “Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs.” International Review of Financial Analysis, 8:1, 1-22.
6.Ciner, C. (2002), “The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation.” Review of Quantitative Finance and Accounting, 19:4, 335-349.
7.Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistics Association, 74, 427-431.
8.Easley, D., M. O’Hara, and P. S. Srinivas (1998), “Option Volume and Stock Prices: Evidence on Where informed Traders Trade.” The Journal of Finance, 2, 431-465.
9.Engle, R.F. and K.F. Kroner, (1995), “Multivariate Simultaneous Generalized ARCH.” Econometric Review, 11, 122-150.
10.Fleming, J. and B. Ostdiek, and R. E. Whaley (1996), “Trading Costs and the Relative Rate if Price Discovery in Stock Index Futures Markets.” The Journal of Futures Markets, 15, 457-488.
11.Gallant A. R., P. E. Rossi, and G. Tauchen (1992), “Stock Prices and Volume.” The Review of Financial Studies, 5:2, 199-243.
12.Ghosh, A. (1993), “Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices.” The Journal of Futures Markets, 13, 193-198.
13.Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics.” Journal of Econometrics, 2, 111-120.
14.Gunduz, L. and H. J. Abdulnasser (2005), “Stock price and Volume Relation in Emerging Markers.” Finance and Trade, 41:1, 29-52.
15.Hatch,B.C. (2003), “The intraday relation between NYSE and CBOE prices” The Journal of Financial Research, 26, 97-113,
16.Herbst, A. F., J. P. McCormack, and E. N. West (1987), “Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts.” The Journal of Futures Markets, 7, 373-381.
17.Hiemstra, C. and J. D. Jones (1994), “Testing for linear and nonlinear Granger causality in the stock price-volume relation.” The Journal of Finance, 49:5, 1639-1667.
18.Iihara, Y., K. Kato, and T. Tokunaga (1996), ”Intraday Return Dynamics between the Cash and the Futures Markets in Japan.” The Journal of Futures Markets, 16, 147-162.
19.Kawaller, I., P. Koch, and T. Koch (1987), “Intraday Relationships Between the Volatility in S&P500 Futures Prices and the Volatility in the S&P500 index.” Journal of Banking and Finance, 14, 373-397.
20.Lim, M. and R. Coggins (2005), “The immediate price impact of trades on the Australian Stock Exchange.” Quantitative Finance, 5:4, 365-391.
21.Manaster, S. and R. Rendleman (1982), “Option prices as predictors of equilibrium stock prices.” Journal of Finance, 37, 1043-1057.
22.Min, J. H. and M. Najand (1999), “A Further Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea.” The Journal of Futures Markets, 19, 217-232.
23.Osborne, M. (1959), “Brownian Motion in the Stock Market.” Operations Research, 7, 145-173.
24.Pizzi, M. A., A. J. Economopoulos, and H. M. O’Neill (1998), “An Examination of the Relationship between Stock Index Cash and Futures Markets: A Cointegration Approach.” The Journal of Futures Markets, 18, 297-305.
25.Saatcioglu, K. and L. T. Starks (1998), “The stock price-volume relationship in emerging stock markets: the case of Latin America.” International Journal of Forecasting, 14, 215-225.
26.Schlag, C. and H. Stoll (2005), “Price impacts of Options Volume.” Journal of Financial Markets, 8, 69-87.
27.Stickel, A. E. and R. E. Verrecchia (1994), “Evidence that Trading Volume Sustains Stock Price Changes.” Financial Analysts Journal, 50:6, 57-67.
28.Stoll, H. R. and R. E. Whaley (1990), “The Dynamics of Stock and Stock Index Futures Returns.” Journal of Financial and Quantitative Analysis, 25, 441-468.
29.Tay A. S. and C. Ting (2006), “Intraday stock prices, volume, and duration: a nonparametric conditional density analysis.” Empirical Economics, 30,827-842.
30.Tse, Y. K. (1995), “Lead-Lag Relationship between Spot Index and Futures Price of the Nikkei Stock Average.” Journal of Forecasting, 14, 553-563.
31.Wahab, M. and M. Lashgaari (1993), “Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach.” The Journal of Futures Markets, 13, 711-742.