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研究生:賴奕均
研究生(外文):YI-CHUN LAI
論文名稱:加密貨幣價量關係探討 比特幣與乙太坊之證據
論文名稱(外文):The Price-Volume Relationship of Cryptocurrencies-Evidence from Bitcoin and Ethereum
指導教授:聶建中聶建中引用關係謝志柔謝志柔引用關係
指導教授(外文):Chien-Chung Nieh
口試委員:聶建中陳達新陳光榮
口試日期:2023-06-24
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士班
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:2023
畢業學年度:111
語文別:中文
論文頁數:33
中文關鍵詞:加密貨幣門檻共整合模型門檻誤差修正模型
外文關鍵詞:CryptocurrenciesThreshold cointegrationThreshold errorcorrection model
DOI:10.6846/tku202300355
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本研究以比特幣及乙太坊兩種加密貨幣作為研究標的,研究2021年1月1日至2021年12月31日之價格與交易量資料,探討兩種加密貨幣價格與交易量之間是否存在因果關係。本研究首先使用ADF及KPSS兩種單根檢定以檢驗資料是否呈現定態,兩種單根檢定結果皆表明在資料經過一次差分過後都呈現為定態資料,並透過非線性共整合分析兩種加密貨幣之價格與交易量資料,發現兩種加密貨幣之價格與交易量之間具有共整合關係,再利用Granger因果關係及非線性門檻誤差修正模型,分別探討以價格或是交易量作為被解釋變數,來研究價格與交易量之間的因果關係,結果表明,短期互動下,比特幣之價格與交易量不具有因果關係,而乙太坊交易量對價格存在單向因果關係,在長期互動下,比特幣價格在偏離程度較大時對比特幣交易量具有單向因果關係,而乙太坊之交易量不論偏離程度如何都對價格存在因果關係,本研究希望此結果能夠對投資人預測比特幣及乙太坊價格有所幫助。
This paper takes Bitcoin and Ethereum as the research targets, studies the price and trading volume data from January 1, 2021 to December 31, 2021, and empirically investigates the price-volume relationship of Bitcoin and Ethereum. First, ADF and KPSS unit-root tests were used to test whether the data were in stationary. Secondly, the study use the nonlinear co-integration test to analyze the long-term equilibrium relationship between price and volume of two cryptocurrencies, and then using the Granger-Causality test and the M-TECM model to study the causal relationship between two variables. The results show that under short-term interaction, the price and trading volume of Bitcoin do not have a causal relationship, while the trading volume of Ethereum has a one-way causal relationship with the price. In the long-term interaction, the price of Bitcoin has a one-way causal relationship with the trading volume of Bitcoin when the degree of deviation is large, while the transaction volume of Ethereum has a causal relationship with the price. This study hopes that this result can be helpful for investors to predict the prices of Bitcoin and Ethereum.
目錄
目錄................................................................i
表目錄.............................................................ii
圖目錄............................................................iii
第一章 緒論.........................................................1
第一節、研究動機................................................1
第二節、研究目的................................................3
第三節、研究架構................................................4
第二章 文獻回顧.....................................................5
第三章 研究方法.....................................................7
第一節、單根檢定................................................7
第二節、門檻共整合檢定..........................................8
第三節、門檻誤差修正模型與Granger因果關係.....................12
第四章 實證結果....................................................15
第一節、敘述統計量.............................................15
第二節、單根檢定...............................................18
第三節、門檻共整合檢定.........................................19
第四節、門檻誤差修正模型與Granger因果關係.....................22
第五章 結論........................................................29
第一節、研究結論...............................................29
第二節、研究建議與限制.........................................30
參考文獻...........................................................31

表目錄
表4.1.1各變數敘述統計量...........................................15
表4.2.1比特幣及乙太坊之ADF與KPSS單根檢定......................18
表4.3.1比特幣之價格與交易量非線性共整合檢定.......................20
表4.3.2乙太坊之價格與交易量非線性共整合檢定.......................21
表4.4.1比特幣價格與交易量之門檻誤差修正模型估計...................24
表4.4.2乙太坊價格與交易量之門檻誤差修正模型估計...................27

圖目錄
圖1.3.1研究架構圖..................................................4
圖4.1.1比特幣2021年價格之時間趨勢圖..............................16
圖4.1.2比特幣2021年交易量之時間趨勢圖............................16
圖4.1.3乙太坊2021年價格之時間趨勢圖..............................17
圖4.1.4乙太坊2021年交易量之時間趨勢圖............................17
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