期刊論文1. | Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。 |
2. | Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。 |
3. | Theodossiou, P.、Lee, U.(1993)。Mean and Volatility Spillovers across Major National Stock Market: Further Empirical Evidence。The Journal of Finance Research,16(4),337-350。 |
4. | Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stock: The Case of Hong Kong。Journal of International Money and Finance,21,265-293。 |
5. | Pagan, A.、Schwert, G.(1990)。Alternative Models for Common Stock Volatility。Journal of Econometrics,45,267-290。 |
6. | Kim, S. W.、Rogers, J. H.(1995)。International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States。Journal of Empirical Finance,2,117-133。 |
7. | Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume verses GARCH Effects。Journal of Finance,45,221-229。 |
8. | Lau, S. T.、Diltz, J. D.(1994)。Stock Returns and the Transfer of Information between the New York and Tokyo Stock Exchanges。Journal of International Money and Finance,13,211-222。 |
9. | Kato, Kiyoshi、Linn, Scott、Schallheim, James(1991)。Are There Arbitrage Opportunity in the Market for American Depository Receipt?。Journal of International Financial Market, Institutions and Money,1,73-89。 |
10. | Ely, D.、Salehizadeh, M.(2001)。American Depositary Receipt: An Analysis of International Stock Price Movements。International Review of Financial Analysis,10,343-363。 |
11. | Errunza, V.、Losq, E.(1985)。The Behavior of Stock Prices on LDC Markets。Journal of Banking and Finance,9,561-575。 |
12. | French, K. R.(1980)。Stock Returns and Weekend Effect。Journal of Financial Economics,8,55-69。 |
13. | Chen, S. Y.、Chou, L. C.、Yang, C. C.(2002)。Price Transmission Effect between GDRs and their Underlying Stocks-Evidence from Taiwan。Review of Quantitative Finance and Accounting,19,181-214。 |
14. | Connolly, R. A.(1989)。An Examination of the Robustness of the Weekend Effect。Journal of Financial and Quantitative Analysis,24,133-169。 |
15. | Bae, K. H.、Karolyi, A. G.(1994)。Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the US。Pacific-Basin Finance Journal,2,405-438。 |
16. | Susmel, R.、Engel, R. F.(1994)。Hourly volatility spillovers between international equity markets。Journal of International Money and Finance,13(1),3-25。 |
17. | Neumark, D.、Tinsley, P. A.、Tosini, S. S.(1991)。After Hours Stock Prices and Post Crash Hangovers。Journal of Finance,46,159-178。 |
18. | von Furstenberg, G.、Jeon, B. N.(1989)。International Stock Price Movements: Links and Messages。Brookings Papers on Economic Activity,1,125-167。 |
19. | Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。 |
20. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。 |
21. | French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。 |
22. | Bekaert, G.、Harvey, C. R.(1995)。Time-Varying World Market Integration。The Journal of Finance,50(2),403-444。 |
23. | Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。 |
24. | Hamao, Yasushi、Masulis, Ronald W.、Ng, Victor K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。 |
25. | Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。 |
26. | Kim, Dongcheol、Kon, Stanley J.(1994)。Alternative Models for the Conditional Heteroscedasticity of Stock Returns。The Journal of Business,67(4),563-598。 |
27. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 |
28. | Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews,11(2),143-172。 |
29. | Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance,44(1),1-17。 |
30. | Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。 |
31. | Lin, Wen-Ling、Engle, Robert F.、Ito, Takatoshi(1994)。Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility。Review of Financial Studies,7(3),507-538。 |
32. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 |
33. | Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。 |