科技日新月異下，交易已不受限於地區與國別，興盛的跨國交易儼然如同世界村一樣，而2013年台灣進出口總額超過5700億美元，約為名目GDP的1.18倍，對島國台灣來說進出口貿易無論是民生需求還是經濟成長上都是相當重要的環節，伴隨著新金融商品的日益多元化，在交易過程中匯率成了不容忽視的風險因素之一。本文利用與台灣前五大交易對手國之貨幣，試圖解釋在外匯市場中風險與報酬之間的關係，以期提供交易人作為交易時之參考。 目前探討外匯市場風險與報酬關聯性的文獻尚且不多，且使用的方法多為傳統的最小平方法，而最小平方法對於報酬率或誤差分配為常態分配，而分量迴歸為無母數模型，無須母體分配假設，且較最小平方法更為穩健，也不會因存在離群值而影響檢定效果。故本研究應用分量迴歸模型再驗證外匯市場報酬與風險之間的抵換關係，經實證結果發現： 一、 各貨幣在不同分量的下，風險─報酬的抵換關係皆有所不同。 二、 各幣別在金融危機前後風險─報酬的抵換關係改變，表示受到金融風暴影響改變了其風險─報酬抵換關係。 Technology changes so quickly that trade is not restricted by either regions or countries anymore. In 2013, the total of import and export of Taiwan had over 5700 hundred million U.S. dollars, about 1.18 times of nominal GDP. It’s important to well-being issues and economic growth such as Taiwan, an island nation, especially. So exchange rate became can’t be ignored in transactions by the process. We used the currencies of the first five countries have maximum amount of trading with Taiwan and tried to explain the relationship between risk and return in exchange market. There is not much about discussing with relationship between risk and return in exchange market and most of that were using Least Squares. So we used Quantile Regression Model to re-examination the relationship of exchange market return-risk trade-off. The empirical results as following: 1. The relationships of exchange market return-risk trade-off are different within different quantiles. 2. The relationships of exchange market return-risk trade-off within financial crisis before and after had changed, it’s express that influence of financial crisis for the relationships had an effect.
