| Reference: | 參考文獻
一、中文部份：
1. 冉雋(2002)，流動性與總體經濟-台灣股票實證，國立政治大學國際貿易學系未出版碩士論文。
2. 林基煌、徐正義(2004)，「東亞地區新興市場匯率與股價指數之關係-金融風暴前後的實證分析」，中華管理學報，第五卷，第一期，23-29。
3. 邱哲修、邱建良、蘇英谷(2001)，「台灣匯率波動對股價報酬之影響」，企銀季刊第二十四卷，第四期，131-147。
4. 邱國欽、林鳴琴、王正己、呂偉傑(2007)，「股價、景氣狀態與貨幣政策－台灣證券交易所發行量加權指數實證研究¬」 ，財金論文叢刊 ，P110-127。
5. 洪之良(2001)，台美兩地之股價與總體經濟變數關聯性研究，國立交通大學經營管理學系未出版碩士論文。
6. 涂嵂婷(2008)，動量報酬、波動度與總體經濟變數關係之實證研究，國立中央大學企業管理研究所未出版碩士論文。
7. 徐鍵欣(2004)，定期總體經濟訊息之宣告效果-以台指現貨、期貨及台指選擇權VIX為例，台北大學合作經濟學研究所未出版碩士論文。
8. 陳政傑(2003)，利用總體指標進行指數投資的擇時策略，國立政治大學財務管理學系未出版碩士論文。
9. 黃慶光(2000)，台灣股價指數反向操作策略及價量關係分析，國立中正大學企業管理研究所未出版碩士論文。
10. 黃勁豪(2001)，台灣股票市場波動性與總體經濟波動性關係之研究，東海大學企業管理學系未出版碩士論文。
11. 曾惠淇(2004)，台灣領先指標綜合指數與總體經濟活動關聯性之研究，逢甲大學財務金融學系未出版碩士論文。
12. 劉素疋(2005)，總體經濟因素與股價關係之研究，國立雲林科技大學財務金融學系未出版碩士論文。
13. 魏宏泰(2003)，台灣股價與總體經濟變數關係之實證研究，朝陽科技大學財務金融學系未出版碩士論文。
二、英文部分：
1. Campbell, J.Y., M. Lettau, B.G. Malkiel and Y. Xu. (2001), “Have Individual Stocks Become More Volatile：An Empirical Exploration of Idiosyncratic Risk,” Journal of Finance, Vol.56, pp. 1-43.
2. Chan, L. K. C., N. Jegadeesh and J. Jegadeesh (1996),“Momentum Strategies,” Journal of Finance, Vol.51, pp1681-1713.
3. Cheung, Y. W. and L.K. Ng (1998), “International Evidence on the Stock Market and Aggregate Economic Activity,” Journal of Empirical Finance, Vol.5, pp.281-296.
4. Connolly, R. and C. Stivers (2005), “Macroeconomic News, Stock Turnover and Volatility Clustering in Daily Stock Return,” The Journal of Financial Research, Vol.28, pp.235-259.
5. Fifield, S.G.M., D.M. Power and C.D. Sinclair (2002), “Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data,” International Journal of Finance and Economics, Vol.7(1), pp.51-62.
6. Graham, M., J. Nikkinen, and P. Sahlstrom (2003),“Relative Importance of Scheduled Macroeconomic News for Stock Market Investors,” Journal of Economics and Finance, Vol.27, 153-165
7. James, C., S. Koreisha and M. Partch (1985), “A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates¬,” Journal of Finance, Vol.40, pp.1375-1384.
8. Jegadeesh, N. and S. Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance Vol.56, pp.699-720.
9. Johansen, S. (1988), “Statistical Analysis of Cointegration Vector,” Journal of Economic Dynamic and Control, Vol.12, pp.231-254.
10. Johansen, Soren and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistic, Vol.52, pp.169-210.
11. Kim, S. J. and J. Sheen (2000), “International Linkages and Macroeconomic News Effects on Interest Rate Volatility-Australia and the US¬,” Pacific-Basin Finance Journal, Vol.8, pp.85-113
12. Laopodis, N. T. and B.L. Sawhney (2002), “Dynamic Interactions between Main Street and Wall Street,” The Quarterly Review of Economics and Finance, Vol.42, (4), pp.803-815.
13. Maysami, R. C. and T.S. Koh (2000), “A Vector Error Correction Model of the Singapore Stock Market,” International Review of Economics and Finance, Vol.9, pp.79-96.
14. Nikkinen, J. and P. Sahlstron (2001), “Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty：A Multinational Perspective,” Multinational Finance Journal, Vol.5, pp.129-148
15. Pearce, D. K. and V. Raley (1985), “Stock Prices and Economic News,” Journal of Business, Vol.58, pp.49-67.
16. Ram, Rati and David E. Spencer (1983), “Stock Returns, Real Activity, Inflation, and Money,” The American Economic Review, Vol.73, pp.463-470.
17. Resnick, Bruce G. and Gary L. Shoesmith (2002), “Using the Yield Curve to Time the Stock Market¬,” Financial Analysts Journal, Vol.158, no.3, pp.83-91
18. Schwert, G.W. (1989), “Why Does Stock Market Volatility Change Over Time,” Journal of Finance, Vol.12, no.5, pp.1115-1153.
19. Wongbangpo, P. and S. C. Sharma (2002), “Stock Market and Macro-economic Fundamental Dynamic Interactions: ASEAN-5 Countries,” Journal of Asian Economics, Vol.13, (1), pp. 27-51. |
