近年來由於市場型式為開放主體，在財務整合，商品區隔的環境下，投資人在進行投資時，應考量全方面的訊息，亦即國家內外部所有會影響股票市場的風險因子。而風險與報酬之間是否存在抵換關係，一直以來皆為備受討論的議題，從過去的文獻當中，研究者多以變異數作為衡量風險的代理，再透過各種不同的研究方法來估計風險報酬係數，但實證上並未獲得一致的結果。本文以1981年1月至2008年7月為研究期間，台灣與韓國之股價指數月資料為樣本，所使用之模型參考Turan G. Bali & Liuren Wu(2010)的研究論文，利用簡化過後的雙變量BEKK-GARCH(1，1)模型進行估計，探討台灣與韓國股票市場跨期收益與風險之關係。本文主要分為三大部分，首先先將台灣及韓國的股價指數以美元計價，針對全球市場觀察其風險以及持續性，並且利用共變異數來判別兩國股市分別為高風險或是低風險，再者，將台灣及韓國的股價指數分別以自己國家之幣別計算，將計算出之殘差估計個別國家股市風險，看是否兩國家內部的非經濟因素，例如:政治及軍事等，會影響股市的表現。最後一部份為前兩部分的整合，比較個別國家風險與全球市場風險對台灣及韓國股市的影響以及超額報酬與風險之間的抵換關係。實證結果顯示，不論就台灣或者是韓國而言，全球市場風險的風險與報酬係數皆為正向顯著，其中又以台灣之係數較為高，透露出若在承擔相同的全球市場風險時，台灣的投資人會較韓國的投資人要求較高的報酬。在匯率風險方面，本文採Turan G. Bali & Liuren Wu(2010)所使用的研究方法，將風險與報酬的抵換關係建立在不同國家的幣別之下進行估計，由結果發現，若以美元為單位來衡量風險報酬係數，則不論是台灣或韓國，在全球市場風險下，係數皆較小；若以個別貨幣來衡量，其台灣的風險與報酬抵換係數較大，韓國之係數則是由正值轉變為負值，代表匯率的確會對市場風險值有所影響，匯率風險是可以被定價的。 / In recent years, due to the opening of the markets, there are more and more choices in the investments. Investors should consider all aspects of information in this world with financial market integration but goods market segmentation. The intertemporal relation between risk and return in the stock market has been one of the most extensively studied topics in financial economics. The risk-return coefficients across different currency denomination change when considering different specification for the conditional covariance process. We used the bivariate BEKK-GARCH (1,1) model as the basic used in the reference by Turan G. Bali & Liuren Wu (2010) estimating the risk-return coefficients and measuring how this risk aversion estimate varies with different currency denominations. We started our analysis using monthly data from January 1981 to July 2008 on the Standard & Poor's 500 index, Taiwan stock exchange corporation and Korea composite stock price index. This article was divided into three parts. First, we computed monthly returns on the indices based on U.S. dollar denomination and calculated the excess returns as the index return minus the short-term interest rate. Second, we estimated the conditional covariances between the excess returns on the world market portfolio and the excess returns on two country indices using a bivariate GARCH specification. Third, we estimated the common relation of the equations implied by the international version of the intertemporal capital asset pricing model between the expected excess returns on those two country indices and the corresponding conditional covariances. After repeating the above procedure and estimating the intertemporal risk-return relation under different currency denomination, the empirical results showed that the risk-return coefficients in the world market portfolio was significantly positive in Taiwan and Korea. We also found that the coefficient was different based on different currency denominations on behalf of the exchange rate risk can be priced.

本研究主要探討台灣各類股在不同貨幣單位之下，風險報酬之間的抵換關係，以此來探討台灣各類股在面對風險情況下的特性。我們考慮的有市場風險與國家特殊風險的影響，其中市場風險為整體經濟情勢帶來的風險；而國家風險代表一個地區的獨有風險，像是政治、經濟、社會等因素所帶來的風險。在衡量風險報酬抵換關係方面，我們藉由資本資產訂價模型的概念來做實證研究，並且藉由對角BEKK模型來做報酬與風險的條件共變異數的估計。我們先估計出市場風險與報酬之間的關係，爾後再加入國家風險因子的影響，並比較在不同貨幣單位之下的估計結果，而此結果亦能代表匯率風險的影響。 實證結果顯示，各大類股在面對風險的反應不一致，其中金融類股為受風險影響最大的類股，且其市場風險係數為顯著的負值，跟理論上風險報酬為正向關係不同。而其他類股在風險與報酬關係上，有正也有負向的結果出現，故我們可得知在面對相同風險之下，各類股有其不同的反應，且在不同的貨幣單位下得到的結果也有所差異，表示匯率的確會對風險報酬關係造成影響，甚至讓風險係數從負值轉為正值，故也顯示了匯率風險的存在。研究也顯示了國家風險對於各類股的影響係數皆不大，表示台灣地區的風險尚屬穩定。而本研究或許可幫助投資人在面對風險時，能藉由各類股風險報酬關係的反應來選擇最適的投資組合。 / This study investigates the various types of stock in Taiwan under the different monetary unit, between risk and return trade-off relations, in order to investigate the characteristics of various types of shares in Taiwan in the face of risk situations. We consider the impact of market risk and country-special risk, the risks of market risk for the economic situation; country risk represents a country risk, the risks such as political, economic, social and other factors . We have empirical research done by the concept of the capital asset pricing model, and the conditions covariance estimated by the diagonal BEKK model.We first estimate the relationship between market risk , and then add the impact of country risk factors, and compare the estimation results under different monetary unit, and this results in representing the exchange-rate risk. The empirical results show that the various stocks in the face of risk response is inconsistent, which financial stocks for the greatest impact on stocks are subject to risks, and the market risk coefficient is significantly negative, difference the theory. Other stocks in the relationship between risk and returns, positive and negative results, so we can learn to face the same risks under various types of shares have different reactions, and in a different currency unit the results also different, it also shows the existence of exchange-rate risk. The study also shows the country risk coefficient of various types of shares were weak effects. This research to help investors in the face of risk, by the reactions of all kinds shares the risk and return relationship to select the optimal portfolio.