길재욱 (2003). 주가동조현상에 관한 연구, <재무관리연구>, 20, 181–200.
김인무, 김찬웅 (2001). 한국, 일본, 미국 주식시장의 정보 전달: KOSDAQ, JASDAQ, NASDAQ과 거래소시장을 중심으로, <증권학회지>, 28, 481–513.
노상윤 (2010). 주식시장의 수익률 전이로 살펴본 세계경제 동조화에 관한 실증연구, <응용통계연구>, 23, 443-456.
이기성, 유재원 (2006). 외환위기 이후 국내외 금융시장의 상호연관성 분석, <금융학회지>, 11, 159-183.
지청, 조담, 양채열 (2001). 우리나라 주가변동에 대한 미국 주가의 영향, <증권학회지>, 28, 1–19.
Baillie, R. T. and Bollerslev, T. (1989). The message in daily exchange rates: A conditional-variance tale,Journal of Business and Economic Statistics, 7, 297-305.
Bazen, S. and Marimoutou, V. (2002). Looking for a needle in a haystack? A re-examination of the time series relationship between teenage employment and minimum wages in the United States, Oxford Bulletin of Economics and Statistics, 64, 699-725.
Bessler, D. A. and Yang, J. (2003). The structure of interdependence in international stock markets, Journal of International Money and Finance, 22, 261–287.
Francis, B. and Leachman, L. (1998). Superexogeneity and the dynamic linkages among international equity markets, Journal of International Money and Finance, 17, 475-492.
Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables, Oxford Bulletin of Economics and Statistics, 48, 213-228.
Hall, S. G. (1989). Maximum likelihood estimation of cointegration vectors: An example of the Johansen procedure, Oxford Bulletin of Economics and Statistics, 52, 213-218.
Hendry, D. F. (1986). Econometric modeling with cointegrated variables: An overview, Oxford Bulletin of Economics and Statistics, 48, 201–212.
Ploberger, W. and Kramer, W. (1990). The local power of the CUSUM and CUSUM of squares tests, Econometric Theory, 6, 335-347.
Ploberger, W. and Kramer, W. (1992). The CUSUM test with OLS residuals, Econometrica, 60, 271–285.
Swanson, N. R. and Granger, C. W. J. (1997). Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions, Journal of the American Statistical Association, 92, 357-367.
Taylor, M. P. and Tonks, I. (1989). The internationalization of stock markets and the abolition of UK exchange control, Review of Economics and Statistics, 71, 332–336.