| Reference: | 一、英文部分
Asprem, M. (1989) “Stock Prices, Asset Portfolios and Macroeconomic Variables in Ten European Countries.” Journal of Banking and Finance 13, 589-612.
Bernard, Henri and Stefan Gerlach (1998) “Does the Term Structure Predict Recessions? The International Evidence.” International Journal of Finance and Economics 3, 195-215.
Boudoukh, Jacob, Matthew Richardson and Robert F. Whitelaw (1997) “Nonlinearities in the Relation between the Equity Risk Premium and the Term Structure.” Management Science 43, 371-385.
Boudoukh, Jacob, Matthew Richardson and Tom Smith (1993) “Is the Ex Ante Risk Premium Always Positive?” Journal of Financial Economics 34, 387-408.
Campbell, J. Y. (1987) “Stock Returns and the Term Structure.” Journal of Financial Economics 18, 373- 400.
Chen, Nai-Fu, Richard Roll and Stephen A. Ross (1986) “Economic Forces and the Stock Market.” Journal of Business 59, 383-403.
Estrella, Arturo and Frederic S. Mishkin (1998) “Predicting U.S. Recessions: Financial Variables as Leading Indicators.” Review of Economics and Statistics Vol. 80, 45-61.
Estrella, Arturo and Gikas Hardouvelis (1991) “The Term Structure as a Predictor of Real Economic Activity.” Journal of Finance, 555-576.
Estrella, Arturo and Frederic S. Mishkin (1996) “The Yield Curve as a Predictor of U.S. Recessions.” Federal Reserve Bank of New York Current Issues in Economics and Finance 2, 1-6.
Fama, Eugene F. and Kenneth R. French (1989) “Business Conditions and Expected Returns on Stocks and Bonds.” Journal of Financial Economics 25, 23-49.
Fischer, K. P. and A. P. Palasvirta (1990) “High Road to a Global Marketplace: The Transmission of International Stock Market Fluctuations.” Financial Review 25, 371-394.
Harvey, Campbell R. (1989) “Forecasts Economic Growth with the Bond and Stock Markets.” Financial Analysts Journal September-October, 38-45.
Harvey, Campbell R. (1993) “Term Structure Forecasts Economic Growth.” Financial Analysts Journal May-June, 6-8.
Lin, Wen-Ling, Robert F. Engle and Takatoshi Ito (1994) “Do Bulls and Bears Move across Borders? International Transmission of stock Returns and Volatility.” Review of Financial Studies 7, 507- 538.
Longin, Francois and Bruno Solnik (2001) “Extreme Correlation of International Equity Markets.” Journal of Finance 56, 649-676.
Masih, Rumi and Abul M. M. Masih (2001) “Long and Short Term Dynamic Causal Transmission amongst International Stock Markets.” Journal of International Money and Finance 20, 563-587.
McCown, James R.(2001) “Yield Curves and International Equity Returns.” Journal of Banking and Finance 25, 767-788.
McCown, James R. (1999) “The Effects of Inverted Yield Curves on Asset Returns.” Financial Review 34, 109-126.
Nagelkerke, N. J. D. (1991) “ A Note on a General Definition of the Coefficient of Determination.” Biometrika，Vol. 78，pp.691-692.
Neely, Christopher J. (2001) “International Interest Rate Linkages.” Federal Reserve Bank of St. Louis International Economic Trends August 1.
Ostdiek, Barbara (1998) “The World Ex Ante Risk Premium: An Empirical Investigation.” Journal of International Money and Finance 17, 967-999.
Ramchand, Latha and Raul Susmel (1998) “Volatility and Cross Correlation across Major Stock Markets.” Journal of Empirical Finance 5, 397-416.
Resnick, Bruce G. and Gary L. Shoesmith (2002) “Using the Yield Curve to Time the Stock Market.” Financial Analysts Journal January-February, 82-90.
Schinasi, Gary J., Charles F. Kramer and R. Todd Smith (2001) “Financial Implications of the Shrinking Supply of U.S. Treasury Securities.” Unpublished International Monetary Fund working paper.
Siegel, Jeremy J. (1998) Stock for the Long Run. 2nd ed. New York: McGraw-Hill.
Wu, Chunchi and Yong-Chern Su (1998) “Dynamic Relations among International Stock Markets.” International Review of Economics and Finance 7, 63-84.
二、中文部份
1.林炯堯、陳文燦，民78年，利率變動對股票價格影響之研究，中華民國第一屆證券市場發展研討會論文集。
2.陳俊宏，民84年，總體經濟因素與股價指數關聯性之分析，台灣大學商學研究所未出版碩士論文。
3.蔡培倫，民85年，長、短期利率預測及其運用，東吳大學經濟研究所未出版碩士論文。
4.林青青，民87年，國際股市之漲跌對台灣及東南亞各國股市的影響，台灣大學財務金融研究所未出版碩士論文。
5.江昭政，民87年，亞洲股市之相關性分析，中央大學財務管理研究所未出版碩士論文。
6.張哲郡，民89年，股市預測模型及交易策略之研究，台北大學企業管理研究所未出版碩士論文。
7.柯志昌，民89年，國際股市連動關係之研究—以台、港、日、美為例，中正大學企業管理研究所未出版碩士論文。
8.張淑媛，民91年，長短期利差與經濟成長之關係---以台灣、美國及日本為例，輔仁大學金融研究所未出版碩士論文。
9.顏秀蓉，民91 年，臺灣與歐美國際股市互動現象之探討，國立海洋大學應用經濟研究所未出版碩士論文。
10.蕭為翰，民91 年，美國與台灣主要股價指數連動關係之實證研究，淡江大學美國研究所未出版碩士論文。
11.蕭碧珍，民92年，長短期殖利率差與股價指數漲跌關聯性研究---以台灣為例，交通大學國際經貿學程碩士班未出版碩士論文。
12.王濟川、郭志剛，民92年，Logistic迴歸模型－方法及應用，五南圖書。 |
