壹、中文部份
1、許志義、洪育民，1994，石油經濟學，台北；華泰。
2、施能仁、施純楨、施若竹，2004，計量經濟，台北；高立。
3、王志中（1999），以總體經濟指標預測台灣股票報酬，碩士論文，台灣科技大學管理研究所。4、李忠穎（2002），台灣現貨與期貨市場價格行為~小型台指期貨創立之影響，碩士論文，國立台北大學合作經濟學系5、 呂友正（2003），台灣、美國、日本、香港與中國大陸股市共移性興股價波動外溢效果之研究－VOLATILITY SWITCHING GARCH模型之應用，碩士論文，台北大學合作經濟學系6、何素華（1991），國際股市投資組合之研究: 簡單排列模式之應用，碩士論文，國立中央大學財務管理研究所7、林軒宇（2003），台股指數現貨、台股指數期貨與摩根台股指數期貨間報酬率波動關係之研究，碩士論文，國立台北大學企業管理研究所。8、林俊彥（2002），匯率、股價、油價之關連性－遠東地區為例，碩士論文，朝陽科技大學財務金融系。9、林淑菁（2001），油價變動的波及效果：台灣產業關聯表的實證分析，碩士論文，世新大學經濟學系。10、陳俊傑（1993），股價與總體經濟變數之實證，碩士論文，淡江大學金融研究所。11、劉筱筠（2003），應用門檻 GARCH-M 模型分析國際原油價格變動與台灣股價
報酬波動之關聯性，碩士論文，國立台北大學經濟學系。
12、盛曉青（1999），東南亞金融風暴期間亞洲各國股市之共整合關係與變異數分解
之研究，碩士論文，東吳大學企業管理學系。
13、繆燕鴦（2000），亞太地區貨幣政策與股市報酬之關聯性分析—以向量自我迴歸
及共整合模型為例—，碩士論文，中原大學企業管理學系。
貳、英文部份
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3、Bollerslev,T.,(1986) “Generalized autoregressive conditional heteroskedasticit,” Journal of Economics,Vol.31,307-334.
4、Braun, P. A, D.B. Nelson, and A. M. Sunier(1995), “Good News, Bad News, Volatility, and Betas”, Journal of Finance, 50(5), pp. 1575-1603.
5、Chan, K.C., B. E. Gup and M.S.Pan(1992),” An Empirical Analysis of Stock Prices”
6、Cuñado, Juncal, and Fernando Pérez de Gracia(2003) “Do oil price shocks matter? Evidence for some European countries,” Energy Economics, 25, 137-154.
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8、Engle, R. and Granger, C, (1987)“Co-integration and Error Correction: Representation. Estimation and testing”, Econometrica, pp. 251-276.
9、Engle, Robert F. and Yoo, B (1987), ”Forecasting and Testing in Cointegrated systems.” Journal of Econometrics 35, pp. 588-589.
10、Eun, and Shim, June,(1989)“International Transmission of Stock Market Movements” Journal of Financial and Quantitative Analysis 24,pp 241-256.
11、Engle,R.F.(1982) ,“Autoregressive Conitional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”,Econometrica,Vol.50,No.4,pp987-1007.
12、Fama,E, (1970), “Efficient capital markets : A review of theory of empirical work, “ ,Journal of Finance, May,383-471
13、Granger, C.W.J. (1969)“Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”,Econometrica,37(3), pp. 651-682.
14、Hamao,Y.,Masulis,R.W.and Victor Ng (1990),“Correlations in Price Changes and Volatility across International Stock Markets”,The Review of Financial Studies,Vol.3,pp281-307.
15、Johansen,S.(1988)“Statical analysis of cointegration vectors,”Journal of Economic Dynamics and Control, 231-254
16、Johansen, S.and Juselius, K., (1990)“Maximum Likelihood Estimation and Inference on Cointegration : With Application to The Demand For Money”, Oxford Bulletin of Economics and Statistics, 52(2), pp.169-210.
17、Kim, D. and S. Kon (1994), “Alternative Models for The Conditional Heteroskedasticity of Stock Returns,” Journal of Business, Vol.67, pp.563-588.
18、Koutmos, G., Lee, U., and P. Theodossiou (1994), “ Time-varying Betas and Volatility Persistence in International Stock Markets,” Journal of Economics and Business, Vol.46, pp.101-112.
19、Lamoureux ,C.G. and Lastrapes W.D.Lastrapes,(1990),“Persistence in Variance,Structural Change, and the GARCH Model,”Journal of Business and Economic Statistics,Vol.8,225-234
20、Lee, Hyun-Hoon, Hyeon-Seung Huh, and David Harris（2003）, “The relative impact of the US and Japanese business cycles on the Australian economy,” Japan and the World Economy, 15, iss. 1, 111-29.
21、Ma, Christopher K.and Kao, G Wenchi (1990)“On Exchange Rate Changes And Stock Price Reactions”, Journal of Buseinss Finance and Accounting , Vol. XI, 1990, Summer, pp.441-449.
22、Miyakoshi Tatsuyoshi ,（2001） “Notes on volatility spillover effects from Japan and the US to the Pacific-Basin” , speech in National Normal University Taiwan .
23、Major Asian Market and the United States,” Financial Review, May., 289307
24、Paul A. Samuelson（1965）, “Proof that Properly Anticipated Price Fluctuate Randomly”, Industrial Management Review, vol.6 No.2, p.p. 41-49
25、Sims, C.A. (1980)”Macroeconomics and Reality”, Econometrica, 48, pp.424-438.
26、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, pp.237-254.