參考文獻
一、中文部份
1.白麗真(1996),「即期與遠期匯率之長期均衡及短期動態關係」,台灣大學財務金融大學國際貿易所碩士論文。2.彭榮茂,周麗茹(1998),「台灣美元遠期外匯市場訊息效率性之研究」,統計與資訊評論,第4卷,頁18-46.
3.葉輔錩(1996),「台灣與主要貿易國即期匯率間之研究一多變數共整合模型分析」,淡江大學財務金融研究所碩士論文。4.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, 451-460頁。5.陳榮昌(2002),「匯率與股價報酬間外溢效果之多國分析」,國立雲林科技大學財務金融研究所碩士論文。6.彭榮茂、蔡麗茹( 1998),「台灣美元遠期外匯市場訊息效率性之研究」,統計與資訊評論,第4卷,頁23-46。7.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-美圖,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。
8.林于文(2003),「股價、匯價、利率傳遞效果之分析一多變量VAR-EGARCH的應用」,私立逢甲大學經濟所碩士論文。9.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, 頁21-40。10.張鳳貞(1999),「台灣地區利率、匯率與股價亙動關係之研究」,國立中興大學統計學研究所碩士論文。11.廖育成(2000),「即期期匯率與遠期匯率間聯性探討」,淡江大學財務金融研究所碩士論文。12.顏月珠,商用統計學,三民書局,1998.
13.陳超塵,計量經濟學原理,台灣商務印書館,2004.
14.楊奕農,時間序列分析,雙葉書廊有限公司,2005.
15.賴景昌,總體經濟學,雙葉書廊有限公司,2005.
16.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。17.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」,國立東華大學國際經濟研究所碩士論文。18.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,頁151-169。
19.李碧純(1997),「亞洲各國股匯市波動之傳遞效果-金融風暴前後之探討」,國立中央大學財務管理研究所碩士論文二、英文部份
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, 23-35.
2.Baillie, R. T. and T. Bollerslev(1989), “Common Stocbastic Trends in a System of Exchange Rate”, Journal of Finance, Vol.44, 166-180.
3.Boxter, M. (1994), “Real Exchange Rates and Real Interest Rate Differentials: Have we Missed the Business Cycle Relationship?”Journal of Monetary Economics, Vol.33, 5-40.
4.Crowder, W. J., ( 1994)“ Foreign Exchange Market Eficiency and Common Stochastic Trends,” Journal oflntemational Money and Finance 13, 551-563.
5.Dornbusch, Rudiger, (1976), “Expectations and Exchange Rate Dynamics”, Joumal of Political Economy, Vol. 84,1162-1174.
6.Frankel, J. (1979), “On the Mark: A Theory ofFloating Exchange Rate Based on Real Interest Diferentials”, American Economic Review, Vol.69, 600-622.
7.Kanas, A.(2000), “Volatility Spillovers between Stock Returns and Exchange Rate Changes: Intemational Evidence”, Journal of Business Finance and Accounting, vol.17.441-447.
8.Ma, C. K. and G. W. Kao(1990), “Foreign Exchange Rate Changes and Stock Price Reactions”﹐Journal of Business Finance and Accounting,17, 441-448.
9.Macdonald, R. (1993), “Long-Run Purchasing Power Parity: Is It for Real?”, Review of Economics and Statistics, Vol. 75, 690-695.
10.Macdonald, R. and M. P. Taylor(1989), Foreign Exchange Market Efficiency and Cointegration Some Evidence from The Recent Float”, Economics Letters, Vol.29, 63-68.
11.Patel, Jayendu. (1990), “Purchasing Power parity as a Long-Run Relation”, Journal of Applied Econometrics, Vol. 5,369-379.
12.Phillips, P. C. B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regession” Biometrika 75, 335-356.
13.Phillips, P. C. B., (1987), “Time Series Regression with a Unit Root Economitrica 55, 270-301.
14.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, 13,229-254.
15.Sanderson, P., ( 1984), “Rational Expectations and Forward Exchange Market Efficiency”,Applied Economics 16, 99-108.
16.Introductory Econometrics for Finance﹐Chris Brooks ﹐Cambridge.
17.Econometric Analysis﹐William H.Greene ﹐Prentice Hall﹒