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研究生:張采翎
研究生(外文):Tsai-Ling Chang
論文名稱:比特幣與公司債之關聯性分析
論文名稱(外文):An Analysis of Correlation between Bitcoin and Corporate Bond
指導教授:牟萬馨牟萬馨引用關係
指導教授(外文):Wan-Shin Mo
學位類別:碩士
校院名稱:中原大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:50
中文關鍵詞:比特幣公司債關聯性波動性新聞效果Granger因果關係不對稱效果
外文關鍵詞:bitcoincorporate bondcorrelationvolatilitynews effectGranger causalityasymmetric effect
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目錄
摘要........................................................................................................................................I
ABSTRACT ......................................................................................................................... II
謝辭..................................................................................................................................... III
目錄.....................................................................................................................................IV
表目錄.................................................................................................................................. V
圖目錄.................................................................................................................................VI
第一章 緒論......................................................................................................................... 1
第一節 研究背景與動機 .............................................................................................. 1
第二節 研究目的.......................................................................................................... 7
第三節 研究流程.......................................................................................................... 8
第二章 文獻回顧 ................................................................................................................. 9
第三章 研究方法 ............................................................................................................... 12
第一節 關聯性與波動性 ............................................................................................ 12
第二節 新聞效果........................................................................................................ 14
第三節 Granger 因果關係檢定................................................................................... 15
第四節 市場訊息效果................................................................................................ 17
第五節 資料來源與說明 ............................................................................................ 20
第四章 實證結果分析........................................................................................................ 23
第一節 樣本分析........................................................................................................ 23
第二節 因果關係檢定................................................................................................ 28
第三節 市場訊息效果................................................................................................ 32
第五章 結論與建議............................................................................................................ 41
第一節 結論 ............................................................................................................... 41
第二節 未來研究方向與建議..................................................................................... 42
參考文獻............................................................................................................................. 43

表目錄
表 3-1 公司債之樣本說明.................................................................................................. 20
表 3-2 各樣本變數說明...................................................................................................... 22
表 4-1 比特幣與公司債每日報酬之敘述統計量 ............................................................... 24
表 4-2 比特幣與公司債其 EGARCH 模型之參數估計 ..................................................... 27
表 4-3 關聯性與波動性之因果關係檢定........................................................................... 28
表 4-4 關聯性與新聞效果之因果關係檢定....................................................................... 30
表 4-5 關聯性與波動性之不對稱效果............................................................................... 32
表 4-6 市場波動性的估計係數之 Wald test 檢定............................................................... 34
表 4-7 關聯性與新聞效果之不對稱效果........................................................................... 36
表 4-8 市場新聞效果的估計係數之 Wald test 檢定........................................................... 39

圖目錄
圖 1-1 比特幣之每日交易價格走勢圖................................................................................. 5
圖 1-2 各級別之公司債每日指數走勢圖............................................................................. 5
圖 1-3 研究流程 ................................................................................................................... 8
圖 4-1 投資級別之公司債與比特幣之關聯性走勢圖........................................................ 26
圖 4-2 投機級別之公司債與比特幣之關聯性走勢圖........................................................ 26
英文文獻
Akhtaruzzaman, M., Sensoy, A., & Corbet, S. (2019). The influence of bitcoin on portfolio diversification and design. Finance Research Letters, 101344.
Amira, K., Taamouti, A., & Tsafack, G. (2011). What drives international equity correlations? Volatility or market direction?. Journal of International Money and Finance, 30 (6), 1234-1263.
Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407-432.
Das, D., Le Roux, C. L., Jana, R. K., & Dutta, A. (2019). Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar. Finance Research Letters, 101335.
Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
Fang, L., Bouri, E., Gupta, R., & Roubaud, D. (2018). Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?. International Review of Financial Analysis, 61, 29-36.
Fischer, B. (1976). Studies of stock price volatility changes. In Proceedings of the Business and Economic Statistics Section (pp. 177-181).
Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Economic Society, 424-438.
Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis, 63,431-437.
İçellioğlu, C. Ş., & Öner, S. (2019). An Investigation on the Volatility of Cryptocurrencies by means of Heterogeneous Panel Data Analysis. Procedia Computer Science, 158, 913-920.
Jin, J., Yu, J., Hu, Y., & Shang, Y. (2019). Which one is more informative in determining price movements of hedging assets? Evidence from Bitcoin, gold and crude oil markets. Physica A: Statistical Mechanics and its Applications, 527, 121121.
Klein, T., Thu, H. P., & Walther, T. (2018). Bitcoin is not the New Gold-A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105-116.
López-Cabarcos, M. Á., Pérez-Pico, A. M., Piñeiro-Chousa, J., & Šević, A. (2019). Bitcoin volatility, stock market and investor sentiment. Are they connected?. Finance Research Letters, 101399.
Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.(2008).
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica: Journal of the Econometric Society, 347-370.
Pal, D., & Mitra, S. K. (2019). Hedging bitcoin with other financial assets. Finance Research Letters, 30, 30-36.
Philippas, D., Rjiba, H., Guesmi, K., & Goutte, S. (2019). Media attention and Bitcoin prices. Finance Research Letters, 30, 37-43.
Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis, 63, 322-330.
Stroukal, D. (2018). Can bitcoin become money? Its money functions and the regression theorem. International Journal of Business and Management, 6(1), 36-53.
Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80-82.
Urquhart, A., & Zhang, H. (2019). Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63, 49-57.
Wang, G., Tang, Y., Xie, C., & Chen, S. (2019). Is bitcoin a safe haven or a hedging asset? Evidence from China. Journal of Management Science and Engineering, 4(3), 173-188.
中文文獻
白經睿,2019,比特幣價格與臺灣比特幣概念股股價的關聯,碩士論文,淡江大學經濟學系經濟與財務碩士班。
杜冠葶,2019,比特幣的影響因素,碩士論文,臺中科技大學財務金融研究所。
吳仲平,2018,比特幣價格與總體經濟變數之關聯性,碩士論文,臺灣大學經濟學研究所。
許允禎,2018,比特幣與金融資產之關聯性探討,碩士論文,政治大學國際經營與貿易研究所。
陳柏文,2018,從金融資產與貨幣之觀點探討比特幣之價值,碩士論文,政治大學企業管理研究所。
陳若暉,2017,金融科技,社團法人全球群眾募資與金融科技服務協會,桃園。
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