第六章 結論與建議
第二節 建議
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第二節 建議
(1) 本研究選擇的樣本期間為 1990 年 7 月到 2008 年 6 月，而此期間之內發 生亞洲金融風暴等事件，故可能對於風險報酬關係的估計會產生不合理論上 的假設，建議之後的研究也許可剔除在風險情況過大的金融風暴之下，來做 風險報酬關係的探討，亦可分段期間討論，或加入 2008 年 6 月次級風暴之後 的期間，也許會得到與本研究不同的結果。
(2) 對於使用對角 BEKK 模型來做估計，可能有其無法完善的地方，像是模型 的配適結果偏低，造成風險報酬係數估計結果不顯著等問題，而 Harvey(2001) 與 Brandt(2007)則認為造成估計結果的差異在於模型的前提假設不同。故也 許對於台灣的股票市場可以考慮其他多變量的模型來做估計，像是二元 EGARCH 模型等具有財務時間序料資料特性的模型,也許可以增進模型的配適 結果。
(3) 對於本研究的實證研究方法為參考 Bali and Wu(2010)的做法，而其中 不同的地方在於估計時對於風險因子的參數採取的估計方式不同，原本文獻 是將(3.16)式到(3.19)式的風險係數
A
ik與B
ik聯合估計且限制在一個貨幣單 位下風險因子是相同的，而允許其常數項有所差別。而在考慮聯合估計且限 制因子下的估計方式較困難，故本研究採用的是簡化在各類股皆有其各自不 同的風險因子，故也許估計的方式不同而造成估計的結果有所差異的情況。(4) 對於市場風險的選取，本研究是採用 MSCI-US 指數來當作市場風險，但 從各類股與 MSCI-US 指數的共變異數圖卻發現大部分類股沒有明顯的趨勢，
且在正負之間波動，只有金融類股都維持在正值的。故在市場風險因子的選 取上，或許之後的研究可考慮以台灣加權股價指數來當作市場風險，亦即當 作八大類股的市場風險，而不是全球的市場風險，或許可得到較佳的風險報 酬估計結果。
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柯博倫,2010,風險值之估計-GARCH 模型之應用,臺灣大學農業經濟學研究所碩 士論文
陳榮昌,2002,台灣股票報酬之結構分析,國立中山大學財務管理學系碩士論文 陳依婷,林澄政,胡惟喻,2010,台灣與中國大陸股,匯市場價各報酬與波動傳遞效 果之研究,Journal of China University of Science and Technology, Vol.43-2010.04 楊麗玲,2005,跨期資本資產訂價-台灣股市實證分析,Journal of China Institute of Technology , Vol 32-2005.5
蔡佳宏,1998,台灣股市與匯市間報酬及波動性之外溢效果-GARCH 及 GMM 之應用, 政治大學企業管理學系碩士論文
謝明霖,雷立芬,2009,臺灣上市公司隨時間變動系統風險之結構性轉變研究,台 灣銀行季刊第六十一卷第四期
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