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J.、Morgenstem, O.(1963)。Spectral Analysis of New York Stock Market Prices。Kyklos,16,1-27。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Granger, C. W. J.、Yang, C. W.、Huang, B.(2000)。Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40,337-354。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Hsieh, D.(1991)。Chaos and Nonlinear Dynamics: Application to Financial Markets。Journal of Finance,46,1839-1877。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Issam, S.、Murinde, V.、Abdalla, A.(1997)。Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India. Korea, Pakistan and the Philippines。Applied Financial Economics,7,25-35。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Ong, L.、Izan, H. Y.、Clements, K.(1999)。The World Real Interest Rale: Stochastic Index Number Perspectives。Journal of International Money and Finance,18,225-249。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Osborne, M. F. M.(1959)。Brownian Motion in the Stock Marke。Operation Research,7,145-173。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Phillips, P. C. B.(1986)。Understanding Spurious Regressions in Econometrics。Journal of Econometrics,33,311-340。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Soenen, Luc A.、Hennigar, Elizabeth S.(1988)。An Analysis of Exchange Rates and Stock Prices--The U.S. Experience between 1980 and 1986。Akron Business and Economic Review,19(4),7-16。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Ying. C. C.(1966)。Market Prices and Volume of Sales。Econometrica,34,676-686。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Yu, Q.(1997)。Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Countries: Tokyo, Hong Kong and Singapore。Singapore Economic Review,41,47-56。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management,15(4),18-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Grassberger, P.、Procaccia, I.(1983)。Measuring the Strangeness of Strange Attractors。Physica D.,9,189-208。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 18. | Jennings, R. H.、Starks, L. T.、Fellingham, J. C.(1981)。An Empirical Model of Asset Trading with Sequential Information Arrival。Journal of Finance,36,143-161。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 19. | Harris, L.(1987)。Transaction data tests of the mixture of distributions hypothesis。Journal of Financial and Quantitative Analysis,22,127-141。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 20. | Ajayi, R. A.、Mougoue, M.(1996)。On the dynamic relation between stock prices and exchange rates。Journal of Financial Research,19(2),193-207。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 21. | Brock, W. A.、Dechert, W. D.、Scheinkman, J. A.、LeBaron, Blake(1996)。A Test for Independence Based on the Correlation Dimension。Econometric Reviews,15(3),197-235。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 22. | Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 23. | 許溪南、黃文芳(19970600)。臺灣股市價量線性與非線性關係之研究。管理學報,14(2),177-195。 延伸查詢![new window](/gs32/images/newin.png) | 24. | 蕭文宗、陳乙銘(19980300)。匯率及其波動對我國出口產業的影響。臺灣銀行季刊,49(1),47-66。 延伸查詢![new window](/gs32/images/newin.png) | 25. | Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 26. | Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics,60(2),268-274。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 27. | Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and nonlinear granger causality in the stock price-volume relation。The Journal of Finance,49(5),1639-1664。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 28. | Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 29. | Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 30. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 31. | Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 32. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Brock, W. A.、Dechert, W.、Scheinkman, J.(1987)。A Test for Independence Based on the Correlation Dimension。University of Wisconsin at Madison。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Modle。Madison:Iowa State University:University of Wisconsin。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 學位論文1. | 陳永茂(1993)。臺灣證券市場股票價格與成交量關係之實證研究(碩士論文)。國立臺灣科技大學。 延伸查詢![new window](/gs32/images/newin.png) | 2. | 殷惠緡(2001)。股價與匯價關聯性分析---多變量GARCH模式運用(碩士論文)。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) | 3. | 彭素玲(1997)。新台幣兌美元價量關係之研究(碩士論文)。國立暨南國際大學。 延伸查詢![new window](/gs32/images/newin.png) | 4. | 楊東曉(1998)。匯率與股市指標間因果關係之探討(碩士論文)。國立中正大學。 延伸查詢![new window](/gs32/images/newin.png) | 5. | 劉永欽(1996)。臺灣股票市場價量之線性與非線性Granger因果關係之研究(碩士論文)。國立交通大學。 延伸查詢![new window](/gs32/images/newin.png) | 6. | 蘇英谷(1999)。匯率波動對股價報酬之影響--條件變異數不對稱模型實證研究(碩士論文)。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) | 7. | 陳東明(1991)。臺灣股票市場價量關係之實證研究(碩士論文)。國立臺灣大學。 延伸查詢![new window](/gs32/images/newin.png) | 圖書1. | Anderson, P. W.、Arrow, K. J.、Pines, D.(1988)。The Economy as an Evolving Complex System。Addison-Wesley Publishing。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Brock, W. A.、Hsieh, D. A.、LeBaron, B.(1991)。Nonlinear Dynamics, and Instability。Cambridge, MA:MIT Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Jones, C. K.(1992)。Portfolio Management: New Models for Successful Investment Decisions。London:Mc-Graw HiLL Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 單篇論文1. | Jaditz, T.,Jones, J.(1992)。Granger Causality behveen the Consumer and Wholesale Price Indices,Washington:Bureau of Labor Statistics and Securities and Exchange Commission。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書論文1. | Branson, W. H.、Henderson, D. W.(1985)。The Specification and Influence of Asset Markets。Handbook of International Economics。Amsterdam:Elsevier Science Publishers。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Brock, W. A.(1991)。Causality,Chaos, Explanation and Predication in Economics and Finance。Beyond Belief: Randomness, Prediction and Explanation in Science。Boca Raton, Fla:CRC Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |