比特幣價格與挖礦股股價關係之研究

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题名:	比特幣價格與挖礦股股價關係之研究 Research on the Relationship between Bitcoin Price and Mining Stocks
作者:	吳承軒 (WU, CHENG-HSUAN)
贡献者:	財務金融學系
关键词:	區塊鏈虛擬加密貨幣比特幣向量誤差修正模型 Granger Causality 因果關係檢定 blockchain cryptocurrency bitcoin vector error correction model Granger Causality test
日期:	2018
上传时间:	2019-05-17 13:44:34 (UTC+8)
摘要:	比特幣起源於2008年金融危機，為金融體系造成一股洪流。本文旨在探討比特幣價格與台灣上市櫃挖礦股股價之間的價格連動關係。樣本資料由2013年至2018年，比特幣價格採用BtcStamp交易所，上市櫃挖礦股公司採用日收盤價組成。透過單根檢定、共整合檢定、向量誤差修正模型、向量自我迴歸模型與Granger Causality因果關係檢定分析兩者之間的連動關係。實證結果表明兩者之間具有價格連動關係，比特幣價格領先於台灣上市櫃挖礦股公司股價。 Bitcoin originated in the financial crisis in 2008, creating a torrent for the financial sys-tem. The purpose of this paper is to explore the relationship between the price of bitcoin and the price of Taiwan listed cryptocurrency mining stocks. The sample period is from 2013 to 2018, and Bitcoin prices are based on the BTCstamp exchange and the listed cryptocurrency mining stocks closing prices in Taiwan. Through the test of unit root test, cointegration test, vector error correction model, vector autoregression, and Granger Causality analysis of the lead-leg relationship between Bitcoin price and cryp-tocurrency mining stocks, the empirical results show that there is a price-linked rela-tionship between bitcoin prices and cryptocurrency mining stocks prices. Bitcoin prices is ahead of the Taiwan listed cryptocurrency mining stocks.
显示于类别:	[財務金融學系 ] 博碩士論文

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