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| 題名: | 比特幣、黃金與人民幣匯率之報酬相關性研究
The Relationships between Bitcoin, Gold, and RMB Returns |
| 作者: | 劉晏彤 |
| 貢獻者: | 國際貿易學系 |
| 關鍵詞: | 加密貨幣
比特幣
黃金
人民幣匯率
Cryptocurrencies
Bitcoin
Gold
Gold, RMB Returns |
| 日期: | 2022 |
| 上傳時間: | 2023-07-05 15:09:54 (UTC+8) |
| 摘要: | 本研究之目的為分析比特幣報酬率、黃金價格報酬率以及人民幣匯率報酬率的交互影響效果。本研究使用迴歸分析之最小平方法(OLS)，實證透過預測模型及因子模型。結果發現，在預測模型中，前期的黃金報酬率會顯著負向影響當期比特幣報酬率，其對當期人民幣匯率報酬率亦有正向顯著影響，但前期比特幣報酬率並不顯著影響黃金報酬率及人民幣匯率報酬率。而在因子模型中，影響比特幣報酬率之因子為當期黃金報酬率(正向影響)與當期人民幣匯率報酬率(負向影響)，且發現當期比特幣報酬率會顯著正向影響黃金報酬率及負向影響人民幣匯率報酬率，由此可知三者市場之資訊間有傳遞效果。最後，總結研究的局限性和影響，提出未來的研究方向。
The purpose of this study is to analyze the interaction effects of returns on Bitcoin, gold, and RMB exchange rate. We apply the ordinary least squares (OLS) regression method using prediction models and factor models to analyze. In the prediction model, the results show that the past gold return negatively affect the current Bitcoin return significantly, and it also has a significantly positive impact on the current RMB exchange rate of return. However, we find that the past Bitcoin return have no significant effect on both the current gold return and current RMB exchange rate of return. In the factor model, the results show that both the current gold return and current RMB exchange rate of return significantly affect the Bitcoin return with positive and negative relationships, respectively. We also find that the current Bitcoin return has a significantly positive effect on gold return and a negative effect on RMB exchange rate of return.All results imply that there is a contagion effect among the information of three markets. Finally, we summarize the limitations and implications of this study and propose the directions for future research. |
| 顯示於類別: | [國際貿易學系所] 博碩士論文
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