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第五章 結論與建議
本研究發現當迴歸式只加入一風險衡量變數時，只有風險價值是美元、英鎊 及日幣三種外匯皆呈現顯著的，實際波動度則只有日幣是顯著，美元及英鎊不顯 著，而實際偏態係數絕對值則是全部皆呈現不顯著。在同時加入三種不同的風險 衡量指標後，模型解釋能力大幅提升，並且實際波動度與風險價值在三種外匯下 皆呈現顯著，而實際偏態係數絕對值只有美元呈現顯著，英鎊及日幣仍不顯著。
為探討金融風暴對台灣外匯市場風險報酬抵換關係的影響，本研究加入金融 風暴虛擬變數，發現在金融風暴後，英鎊及日幣的實際波動度與超額報酬抵換關 係呈現下降且負向的抵換關係，美元的實際偏態係數絕對值則是出現抵換關係反 轉的情形，美元的風險價值與超額報酬抵換關係呈現上升且正向的抵換關係，而 英鎊及日幣的風險價值與超額報酬抵換關係則是下降且正向的抵換關係。
進一步本研究將時間分段討論，從 A 時間與 B 時間的比較中發現美元的實 際偏態係數絕對值與超額報酬的抵換關係，呈現由負轉正的反轉的關係，與上段 結論相同，但無法推論出上一段實際波動度及風險價值對超額報酬抵換關係的變 化情形，本研究推論可能是因為受到 B 時間其他年份的稀釋效果所影響，使得 金融風暴的影響變小。因此，本研究將 B 段時間再區分為金融風暴前後兩個時 段，發現實際波動度中三種外匯皆為負向風險報酬抵換關係，其中美元抵換程度 上升，英鎊及日幣則是下降。風險價值中三種外匯皆為正向風險報酬抵換關係，
其中美元抵換程度上升，英鎊及日幣則是下降。此部份結果與上一段顯著的結果 皆為相符，因此本研究認為金融風暴使美元的風險報酬抵換程度上升，而使英鎊 及日幣的風險報酬抵換程度下降，最後本研究建議使用實際波動度與風險價值作 為風險衡量指標，並可透過研究模型延伸加以探討外匯市場風險報酬抵換關係。
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