| 摘要: | 隨著科技的進步人們的交易模式逐漸由線下的傳統貨幣，轉為線上的電子貨幣亦稱加密貨幣。而比特幣是目前最早被提出且市值佔比最大的電子式貨幣，因此在目前是市場投資者關注度最高的加密貨幣。本研究以比特幣、VIX指數(VIX常被視為投資人情緒恐慌的指標)、羅素2000指數、納斯達克指數、標普500指數作為研究對象，並以單根檢定確認樣本是否為定態後為確保本研究的嚴謹性，並使用共整合檢定確認樣本之間是否存在共整合關係，最後再以向量誤差修正模型來確認所有樣本報酬之間變動的關聯性。了解比特幣的價格是否會影響VIX指數、羅素2000指數、納斯達克指數、標普500指數，以及了解比特幣、VIX指數、羅素 2000 指數、納斯達克指數、標普500指數之間的領先落後關係。本文研究結果發現，首先可以看出比特幣對於羅素2000指數以及標普500指數影響是不太顯著。但對於納斯達克指數來說影響卻是非常的顯著。其次比特幣對於VIX的影響是單向關係不是雙向的。投資人情緒恐慌時，比特幣市場是不會受什麼影響。再者發現VIX指數與三大指數為雙向關係，互為因果關係。最後發現比特幣、VIX指數以及美國主要指數之間存在長期均衡關係。
With the advancement of technology, people's transaction mode is gradually changing from offline traditional currency to online electronic currency also known as cryptocurrency. Bitcoin is the earliest and largest electronic currency in terms of market capitalization, so it is currently the most popular cryptocurrency in the market. In this study, we use Bitcoin, VIX (VIX is often regarded as an indicator of investors' emotional panic), Russell 2000, NASDAQ, and S&P 500 as the subjects of this study, and use single root test (ADF & KPSS) to confirm whether the samples are fixed or not. Finally, the vector error correction model (VECM) is used to confirm the correlation between the changes in returns of all samples. To understand whether the price of Bitcoin affects the VIX, Russell 2000, NASDAQ, and S&P 500 indices, and to understand the leading-lagging relationship between Bitcoin, VIX, Russell 2000, NASDAQ, and S&P 500 indices.The results, showed that Bitcoin has little impact on the Russell 2000 and the S&P 500. However, the impact on the Nasdaq is very large. Second, the impact of Bitcoin on the VIX is unidirectional, not bidirectional. When investors are in a panic, the bitcoin market is not affected by anything. Thirdly, the VIX and the three major indices are bi-directional and are causally related to each other. Finally, a long-term equilibrium relationship was found correlation among Bitcoin, VIX index and major US index. |
