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研究生:范山海
研究生(外文):Pham Son Hai
論文名稱:加密貨幣市場價格基準的定錨
論文名稱(外文):Anchoring on different price benchmarks in the Cryptocurrency market
指導教授:林美珍林美珍引用關係
指導教授(外文):LIN, MEI-CHEN
口試委員:詹佳縈游擱嘉林美珍
口試委員(外文):Sherry Chia-Ying ChanKo-Chia YuLin, Mei-Chen
口試日期:2022-05-13
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:財務金融英語碩士 學位學程(GMBA)
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:2022
畢業學年度:110
語文別:英文
論文頁數:37
中文關鍵詞:加密貨幣定錨偏差價格基準52 周高點
外文關鍵詞:CryptocurrencyAnchoring biasPrice benchmarks52-week high
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  • 下載下載:27
  • 收藏至我的研究室書目清單書目收藏:0
本研究的目的是透過測試偏差是否在不同的價格基準(包括歷史高點(WH)、歷史低點(WL)、52 周高點(WH52), 和 52 週低點 (WL52))上來檢驗定錨偏差對各種加密貨幣回報的影響,以及該效應對硬幣的回報率有正面還是負面影響。此外,我們還進行了橫截面向量自回歸,以查看這些基準和具有 1 或 2 個滯後期的每種貨幣的回報是否可用於預測其自身的回報或其他加密貨幣的回報。實證結果表明,與所有代幣的其他基準相比,52 周高價確實存在偏差。與市值較大的代幣相比,這種偏差似乎對市值較小的代幣的影響更大,並且存在於更多的基准上。從橫截面向量自回歸中也可以看出,這些幣種的滯後1天的收益可以作為其他具有較高一致性的幣種收益的指標。滯後 2 天的回報也包括在本研究中,但對最終結果沒有太大意義。
The purpose of this study is to examine the effect of anchoring bias on the returns of various cryptocurrencies by testing whether the bias manifests at different price benchmarks including the historical high (WH), historical low (WL), 52-week high (WH52), and 52-week low (WL52), as well as whether the effect has a positive or negative effect on the returns of coins. Furthermore, we also conducted a cross-sectional vector autoregression to see if these benchmarks and returns with 1 or 2 lags of one coin can be used to predict its own return or the returns of other cryptocurrencies. The empirical results show that the bias does exist at the 52-week high price more than the other benchmarks across all coins. This bias also seems to affect coins with smaller market capitalization more significantly and exists at more benchmarks compared to coins with larger market capitalization. It is also shown from the cross-sectional vector autoregression that the returns with 1 lag of these currencies can be used as an indicator of the returns of other currencies with relatively high consistency. The returns with a 2-day lag are also included in this study but do not show much significance to the final result.


CHAPTER 1: INTRODUCTION 1
1.1 RESEARCH BACKGROUND AND MOTIVATION 1
1.2 RESEARCH PROCESS 2
CHAPTER 2: LITERATURE REVIEW 4
2.1 ANCHORING BIAS 4
2.2 CRYPTOCURRENCY MARKET 6
2.3 52-WEEK HIGH EFFECT 11
CHAPTER 3: METHODOLOGY 12
3.1 DATA DESCRIPTION 12
3.2 VARIABLE CONSTRUCTION AND METHOD 13
3.3 CROSS-SECTIONAL REGRESSION 14
CHAPTER 4 EMPIRICAL RESULTS 15
4.1 DATA DESCRIPTION 15
4.2 CROSS-SECTIONAL RESULT 16
4.3. VECTOR AUTOREGRESSION RESULTS 17
CHAPTER 5 CONCLUSION 21
REFERENCE 29

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