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第二節 研究建議
本研究為求簡化,在資料收集、模型假設以及投資策略的建構上多有限制,
使研究結果與實務操作的結果可能出現落差,故建議日後相關研究可由以下構面 著手進行加強:
一、本研究僅採用七個已開發國家之貨幣的外匯月資料作為樣本,可能忽略其他 種貨幣的匯率變動以及每日的匯率波動所隱含的資訊,故建議相關研究可蒐 集更多種貨幣及密度更高的匯率資料進行估計,透過樣本數的增加擴展研究 範圍,並提高估計的精確度。
二、本研究採用馬可夫鏈來描述情境轉換的行為,假設本期情境僅取決於上期情 境,為了更有效的預測,建議可將其他可能會影響情境變化的外生變數加入 馬可夫鏈,另外,亦可將可能的外生變數納入情境轉換模型做為自變數以提 高模型的精確度。
三、本研究假設投資人僅投資於外匯市場投資組合、利差交易投資組合以及美金 定期存款,不得放空上述兩投資組合以及投資其他金融商品,但實務上投資 人可能進行更複雜的資產配置,故建議相關研究可放寬此假設,視投資人在 得以選擇其他投資策略後,投資績效是否具有顯著變化。
四、本研究於決定各種投資組合的投資權重時,僅視各投資組合在各種情境下的 報酬狀況作出簡化的配置,然而實務上投資人可能會根據各情境的預期機率 不同以及投資組合間的相關性來決定最適投資組合配置,故建議可納入投資 組合理論,藉由找出效率投資組合的投資權重來模擬實務上投資人的資產配 置方式。
五、本研究假設投資人得無限制地以買賣均價買進或賣出任何數量的各國貨幣,
不考慮交易成本、相關稅收及各種買賣限制等,但實務上投資人於進行投資 時是以較差的價格條件進行買賣,而外匯的交易也並非完全無限制,故建議 可納入交易成本或交易限制的考量以縮小理論與實務的差距。
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