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研究生:鄧欣怡
研究生(外文):Hsin-Yi Teng
論文名稱:加密貨幣動態避險效益之分析
論文名稱(外文):Analysis on Dynamic Hedging Abilities of Crptocurrencies
指導教授:黃健銘黃健銘引用關係李命志李命志引用關係
指導教授(外文):Chien-Ming HuangMing-Chih Lee
口試委員:白東岳李修全黃健銘
口試委員(外文):Tung-Yueh PaiHsiu-Chuan LeeChien-Ming Huang
口試日期:2023-06-26
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士在職專班
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:50
中文關鍵詞:比特幣COVID-19 疫情期間金融資產避險績效
外文關鍵詞:BitcoinCOVID-19 periodfinancial assetshedging performance
DOI:10.6846/tku202300598
相關次數:
  • 被引用被引用:0
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  • 下載下載:7
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本研究主要目的在於探討比特幣在疫情期間的避險特性是否發生改變,並進
一步觀察其他傳統金融資產(原油、黃金、股票和美元)作為考量依據,透過這些
資產在不確定性較高期間的波動性及其動態傳遞來比對在 COVID-19 疫情期間
各類資產的避險特性。我們樣本將使用 2014 年 9 月 30 日至 2022 年 9 月 30 日的
每日的數據(包括 COVID-19 疫情期間),透過相對長期的時間來檢視各類金融資
產間的關係,金融資產間的報酬波動性是否有具有相互影響。最後考慮到市場投
資人行為影響,我們加入恐慌指數和經濟政策不確定性等來觀察,是否催化影響
比特幣價格波動的重大變數。
本研究整體實證顯示比特幣對市場的情緒反應不高,其他資產報酬對其報酬
也無顯著的相互影響關係,表示投資人對於投資比特幣決策時考慮其他資產的報
酬對其避險效益不高。進一步觀察分別在在後疫情時期和樣本外之比特幣和其他
四種資產的避險投資組合的避險績效下,同時持有比特幣和股票之第 1 天期或第
5 天期避險期間的避險效果皆比黃金、原油及美元的投資組合避險效果來的好。
The main objective of this study is to investigate whether the hedging characteristics of
Bitcoin have changed during the COVID-19 period. Furthermore, we examine the volatility and
dynamic transmission of other traditional financial assets (crude oil, gold, stocks, and the US
dollar) as benchmark considerations to compare the hedging properties of various assets during
the period of high uncertainty caused by the COVID-19 period. Our sample period includes
daily data from September 30, 2014, to September 30, 2022, which encompasses the COVID-19
period. This study analyzes the relationships between different financial assets over a relatively
long-term time frame to determine if there is interdependence in the return volatility among
these assets. Additionally, considering the influence of market investor behavior, we incorporate
variables such as the Volatility Index (VIX) and Economic Policy Uncertainty (EPU) to observe
if they have significant effects on the volatility of Bitcoin prices.
Overall empirical evidence from this study suggests that Bitcoin has a low reaction to
market sentiment, and the returns of other assets do not exhibit significant mutual influence on
Bitcoin returns. This indicates that investors do not consider the returns of other assets when
making investment decisions regarding Bitcoin, thereby limiting its hedging effectiveness.
Furthermore, our observations during the post-pandemic period and out of sample reveal that the
hedging performance of a portfolio consisting of Bitcoin and stocks outperforms portfolios
consisting of gold, crude oil, and the US dollar, both in terms of the first-day and fifth-day
hedging periods.
目 錄
第一章 緒 論...........1
第一節 比特幣簡介........1
第二節 研究動機..........2
第三節 研究目的......... 4
第四節 研究架構......... 6
第二章 文獻回顧............ 7
第一節 比特幣的避險特性..... 7
第二節 比特幣與傳統金融資產的相關聯性.................. 10
第三節 在經濟政治不確定性對比特幣的影響......... 12
第三章 研究方法與實證模型............... 14
第一節 變數操作性定義................................. 14
第二節 單根檢定.............................. 17
第三節 ARCH 效果檢定 ..................... 20
第四節 雙變量 GARCH 模型............................ 22
第五節 樣本外避險.............. 26
第四章 資料來源與處理........... 27
第一節 資料來源................... 27
第二節 基本統計分析........... 31
第五章 實證結果與分析................... 33
第六章 結論............................... 43
參考文獻 ............................... 44

圖表目錄
頁次
【圖 1】研究架構.............................. 6
【圖 2】持有期間(1 天)和避險期間(250 天)之移動視窗法 .......... 26
【圖 3】比特幣、傳統性資產、恐慌指數及不確定性指數每日數據....... 30
【表 1】各變數之基本統計量......................... 32
【表 2】各變數之 ADF、PP 單根檢定................. 33
【表 3】ARCH 效果檢定 ........... 34
【表 4】比特幣與黃金之雙變量 GARCH(1,1)估計結果........ 37
【表 5】比特幣與原油之雙變量 GARCH(1,1)估計結果.... 38
【表 6】比特幣與股票之雙變量 GARCH(1,1)估計結果...... 39
【表 7】比特幣與美元之雙變量 GARCH(1,1)估計結果......... 40
【表 8】四種投資組合於不同避險期間之避險績效............. 41
【表 9】四種投資組合於樣本外之避險績效............... 42
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