一、中文部份
陳建福,劉世偉(2009),中國大陸A股與B股雙重掛牌公司股價互動與價差原因之研究:B股開放政策前後的比較,財務金融學刊,17(2),139-162。葉秋南(1999),國際金融危機剖析,台北:金融聯合徵信中心。
楊奕農(2009),時間序列分析-經濟與財務上之應用,台北:雙葉書廊有限公司。
黃仁德、林進煌(2007),國際金融危機的經驗與啟示,台北:聯經出版事業公司。二、英文部份
Aggarwal, C., Inclan, C., & Leal, R. (1999). Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis, 34(1), 33-55.
Akgiray, V. (1989). Conditional in time series of stock returns: Evi-dence and forecasts. Journal of Business, 62(1), 55-80.
Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). Range-based estimation of stochastic volatility models. Journal of Finance, 57(3), 1047-92.
Arshanpalli, B., & Doukas, J. (1993). International stock market lin-kages: Evidence from pre- and post-October 1987 Period. Journal of Banking and Finance, 17(1), 193-208.
Baele L., & Inghelbrecht, K. (2010). Time-varying integration, inter-dependence and contagion. Journal of international Money and Finance, 29(5), 791-818.
Barton, L. (2001). Crisis in organizations, College Division South-Western, Cincinnati, OH.
Baur, D. (2003). Testing for contagion-mean and volatility contagion. Journal of Multinational Financial Management, 13(4), 405-422.
Billio, M., & Pelizzon, L. (2003). Contagion and interdependence in stock markets: Have they been misdiagnosed. Journal of Economics and Business, 55(5), 405-426.
Black, F. (1976). Studies of stock price volatility changes. Proceeding of the 1976 meetings of the business and economics statistics section. American Statistical Association. 177-181.
Bodie, Z., Kane, A., & Marcus, A. J. (2005). Investments. New York: McGraw-Hill.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307-327.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96(1), 116-131.
Boyer, B. H., Kumagai, T., & Yuan, K. (2006). How do crises spread? Evidence from accessible and inaccessible stock indices. Jour-nal of Finance, 61(2), 957-1004.
Brailsford, T. J., Lin, S. L., & Penm, J. H. W. (2006). Conditional risk, return and contagion in the banking sector in asia, International Business and Finance, 20(3), 322-339.
Brocato, J. (1994). Evidence on adjustments in major national stock market linkages over the 1980s. Journal of Business Finance and Accounting, 21(5), 643-67.
Caporale, G. M., Howells, P. G., & Soliman, A. M. (2004). Stock market development and economic growth: The causal linkage. Journal of Economic Development, 29(1), 34-51.
Caporale, G. M., Cipollini, A., & Spagnolo, N. (2005). Testing for contagion: A conditional correlation analysis. Journal of Em-pirical Finance, 12(3), 476-489.
Chakrabarti, R., & Roll, R. (2002). East asia and europe during the 1997 asian collapse: A clinical study of a financial crisis. Jour-nal of Financial Markets, 5(1), 1-30.
Collins, D., Biekpe, N. (2003). Contagion and interdependence in African stock markets. South African Journal of Economics, 71(1), 181-194.
Corsetti, G., Pericoli, M., & Sbracia, M. (2005). Some contagion, some interdependence: More pitfalls in tests of financial conta-gion. Journal of International Money and Finance, 24(8), 1177-1199.
Damodar N. G. (2006). Essentials of economerics (3rd ed. ) . New York: McGraw-Hill.
Darrat, A., & Benkato, O. (2003). Interdependence and volatility spil-lovers under market liberalization: The case of Istanbul stock exchange. Journal of Business Finance and Accounting, 30(7),1089-1114.
Das, S., & Uppal, R. (2001). Systemic risk and international portfolio choice. Manuscript, Harvard University.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autogressive time series with a unit root. Journal of Ameri-can Statistical Association, 74(366), 427-431.
Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers with application to global equity mar-kets. The Economic Journal, 119(534), 158-171.
Diebold, F. X., & Yilmaz, K. (2010). Erratum to Diebold and Yilmatz (2009). The Economic Journal, 120(546), 354-356.
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillover. In-ternational Journal of Forecasting, 28, 57-66.
Ding, Z., Granger, C., & Engle, R. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 48(1), 83-106.
Edwards, S., & Susmel, R. (2001). Volatility dependence and conta-gion in emerging equity markets. Journal of Development Eco-nomics, 66(2), 505-532.
Enders, W. (1995). Applied econometric time series. New York: John Wiley & Sons, Inc.
Enders, W. (2004). Applied econometric time series. New York: John Wiley & Sons, Inc.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of variance of the United Kingdom inflation. Econometrica, 50(4), 987-1008.
Engle, R. F., & Granger, C. W. J. (1987). Cointegration and Error Correction Representation, Estimation and Test. Econometrica, 55( 2), 251-273.
Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749-1778.
Engle, R. F., Ito, T., & Lin, W. L. (1990). Meteor showers or heat waves?Heteroskedastic intra-daily volatility in the foreign ex-change market. Econometrica, 58(3), 525-542.
Estrada, J. (2008). Mean-semivariance optimization: A heuristic ap-proach. Journal of Applied Finance, 14(1), 57-72.
Eun, C., & Shim, S. (1989). International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24(2), 241-256.
Evans, J. L. (2004). Wealthy investor attitudes, Expectations, and be-haviors toward risk and return. The Journal of Wealth Man-agement, 7(1), 12-18.
Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38(1), 34-105.
Fearn-Bank, K. (1996). Crisis communication: A casebook approach. New York: Lawrance Erlbaum Associate.
Forbes, K., & Rigobon, R. (2002). No contagion, only interdepen-dence: Measuring stock market co-movements. Journal of Finance, 57(5), 2223-2261.
French, K., Schwert, W., & Stambaugh R. (1987). Expected stock re-turns and volatility. Journal of Financial Economics, 19(1), 3-29.
Garman, Mark B., & Klass, Michael J. (1980). On the estimation of security price volatilities from historical data. The Journal of Business, 53(1), 67-78.
Glosten, L. R., Jagannathan R., & Runkle, D. (1993). Asymmetric volatility model driven by empirical GARCH innovations. Journal of Finace, 49(3), 71-82.
Granger, C. W. J., & Newbold, P. (1974). Spurious regression in eco-nometrics. Journal of Econometrics, 2(2), 111-120.
Grubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. American Economic Review, 58, 1299-1314.
Hagerman, R. L. (1978). More evidence on the distribution of security returns. Journal of Finance, 33(4), 1213-1221.
Hamao, Y., Masulis, R. W., & Ng, V. K. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3(2), 281-307.
Hamilton, J. D. (1994). Vector autoregressions containing unit roots times series analysis. New York: Princeron Unvercity Press.
Hogan, W., & Warren, M. (1974). Toward the development of an equilibrium capital-market model based on semivariance. Journal of Financial Quantitative Analysis, 9(1), 1-11.
Kanas, A. (2000). Volatility spillovers between stock returns and ex-changes: International evidence. Journal of Business Finance and Accounting, 27(3), 447-467.
Kanas, A. (1998). Volatility spillovers across equity markets: Euro-pean evidence. Applied Financial Economics, 8(3), 245-256.
Khan, S., & Park, K. W. (2009). Contagion in the stock markets: The asian financial crisis revisited. Journal of Asian Economics, 20(5), 561-569.
Kinal, T., & Ratner, J. B. (1982). Regional forecasting models with vector autoregression: The case of New York state. Discussion paper no. 155, Department of Economics, State University of New York at Albany.
King, M. A., & Wadhwani, S. (1990). Transmission of volatility be-tween stock markets. Review of Financial Studies, 3(1), 5-33.
Koop, G., Perasan, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.
Lee, S. B., & Kim, K. J. (1993). Does the October 1987 crash strengthen the co-movements among national stocks markets. Review of Financial Economics, 3(1), 89-102.
Lee, C. L. (2006). Downside risk analysis in Australian commercial property. Australian Property Journal, 39(1), 16-20.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Re-view of Economics and Statistics, 47(1), 13-37.
Lintner, J. (1965). Security prices, risk and maximal gains from diversification. Journal of Finance, 20(4), 587-615.
Liu, Y. A., & Pan, M. S. (1997). Mean and volatility spillovers effects in the U.S. and Asian stock pacific-basin markets. Multinational Finance Journal, 1(1), 47-62.
Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets. The Journal of Finance, 56(2), 649-676.
Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394-419.
Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.
Markowitz, H. M. (1959). Selection efficient diversification of investments. New York: Chapman & Hall, Limited, London.
Mendoza, E. G., & Quadrini, V. (2010). Financial globalization, fi-nancial crises and contagion. Journal of Monetary Econmics, 57(1), 24-39.
Nelson, C., & Plosser, C. (1982). Trends and random walks in ma-croeconomic time series:some evidence and implications. Journal of Monetary Economics, 10, 139-162.
Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370.
Newey, K. W. & West, D. K. (1994) Automatic lag selection in cova-riance matrix estimation. Review of Economic Studies, 61(4), 631-653.
Pagan, A. R., & Wickens, M. R. (1989). A survey of some recent econometrics methods. Economic Journal, 99(398), 962-1025.
Pan, M. S., & Hsueh, P. L. (1998). Transmission of stock returns and volatility between the U.S. and Japan: Evidence from the stock index future markets. Asia-Pacific Financial Markets,5(3), 211-225.
Perasan, H., & Shin Y. (1998). Generalised impulse response analysis in linear multivariate models. Economic Letters, 58(1), 17-29.
Phillips, P. C. B. (1987). Time series regression with a unit root. Eco-nometrica, 55(2), 277-301.
Phillips, P. C. B., & Perron, P. (1988). Testing for unit root in time series regression. Biometrica, 75(2), 335-346.
Reinhart, C. M., & Rogoff, K. S. (2009). This time is different: Eight centuries of financial folly. Princeton University Press.
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Roy, A. D. (1952). Safety first and the holding of assets. Econometri-ca, 20(3), 431-449.
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autore-gressive moving average models of unknown order, Biometrika, 71(3), 599-607.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equili-brium under conditions of risk. Journal of Finance, 19(3), 425-442.
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48.
Solink, B. (1974). The international pricing of risk : An empirical market. Journal of Finance, 29(2), 365-378.
Su, Y. C., & Tsai, J. S. (1996). Volatility and return spillovers among Asian emerging markets. Journal of Security Market Develop-ment, 8(1), 67-88.
Susmel, R., & Engel, R. F. (1994). Hourly volatility spillovers between international equity markets. Journal of International Money and Finance, 13(1), 3-25.
Tai, C. S. (2004). Looking for risk premium and contagion in Asia-pacific foreign exchange markets. International Review of Financial Analysis, 13(4), 381-409.
Taylor, S. J. (1986). Modeling financial time series. Chichester, UK: John Wiley and Sons.
Tsay, R. S. (2010). Analysis of financial time series (3rd ed. ). John Wiley & Sons, Inc. Publication.
Tse, Y. (2003). Price discovery and volatility spillovers in the DJIA index and futures markets. The Journal of Futures Markets, 19(8), 911-930.
Tobin, J. (1958). Liquidity preference as behavior towards risk. Re-view of Economic Studies, 25(2), 66-86.
Yilmaz, K. (2010). Return and volatility spillovers among the east Asian equity markets. Journal of Asian Economics, 21(3), 304-313.
Zakoian, J. (1994). Threshold heteroskedastic model. Journal of Eco-nomic Dynamics and Control, 18(5), 931-955.
Zhang, W., Zhang, Z., & Han, G. (2010). How does the US credit crisis affect the Asia-pacific economics? Analysis based on a general equilibrium model. Journal of Asian Economics, 21(3), 280-292.