月亮效應、投資人情緒與加密貨幣報酬

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魏華延(Hua-Yen Wei) 查詢紙本館藏

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財務金融學系

論文名稱

月亮效應、投資人情緒與加密貨幣報酬
(Lunar effect, investor sentiment and cryptocurrency returns)

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至系統瀏覽論文 (2026-1-31以後開放)

摘要(中)

本研究旨在探討投資人情緒與月相(lunar phase) 週期對加密貨幣報酬的影響以及
月相週期與投資人情緒之交互關係，以2018 年2 月1 日至2022 年7 月31 日為研究
期間，選取市值前十大之加密貨幣作為研究樣本，分別以加密貨幣恐懼與貪婪指數以
及VIX 作為投資人情緒之代理變數，透過迴歸模型進行分析。實證發現，在月亮效應
方面，比特幣在三天區間下發現顯著月亮效應，滿月期間比特幣報酬顯著小於新月期
間。投資人情緒方面，比特幣投資人情緒對比特幣及以太幣報酬有顯著正向影響。其
次，股票市場投資人情緒對所有加密貨幣報酬皆有顯著負向影響，證實加密貨幣並非
股市投資人之避險資產。最後，比特幣投資人情緒對比特幣及幣安幣報酬產生顯著新
月正向交乘效果，新月期間比特幣投資人情緒對加密貨幣報酬影響程度較一般時期大。
股票市場投資人情緒對狗狗幣(Dogecoin) 存在顯著滿月正向交乘效果，且此效果隨區
間拉長而減弱，推測是散戶投資人較容易受到股市情緒影響導致。上述結果顯示加密
貨幣市場投資人並非理性，加密貨幣市場並非效率市場。

摘要(英)

This thesis examines the relationship between investor sentiment, lunar phases and
cryptocurrency returns. The data of top ten cryptocurrencies by market value from
2018/2/1 to 2022/7/31 are used in the analysis. Investor sentiment is meausred by Crypto
fear & greed index (FGI) and VIX. The finding indicates that Bitcoin has significant
lunar effect at the interval of the 1 day before and after full and new moon day. Next,
Bitcoin investor sentiment has a postive effect on Bitcoin and Ethereum returns. Stock
market investor sentiment has a strongly significantly negative effect on all cryptocurrency
returns, implying that cryptocurrency is not a hedging asset against the equity. Moreover,
it is found that Bitcoin investor sentiment has a greater impact on cryptocurrency returns
during a new moon than normal periods. Stock market investor sentiment has a significant
positive full moon interaction effect on Dogecoin and this effect is weaker for longer
intervals. The results indicate that investors in the cryptocurrency market are not rational
and the cryptocurrency market is not an efficient market.

關鍵字(中)

★ 加密貨幣
★ 月亮效應
★ 投資人情緒
★ 效率市場

關鍵字(英)

★ Cryptocurrency
★ lunar effect
★ investor sentiment
★ efficient market

論文目次

一、緒論1
二、文獻回顧7
2.1 加密貨幣市場之特性及效率性. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2 月亮效應. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.3 投資人情緒與股票及加密貨幣報酬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
三、研究方法13
3.1 資料來源及變數定義. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
3.2 實證模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2.1 月亮效應與加密貨幣報酬: 基本模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2.2 投資人情緒、月亮效應與加密貨幣報酬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
四、實證結果21
4.1 敘述性統計. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4.2 月亮效應與加密貨幣報酬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4.3 投資人情緒、月亮效應與加密貨幣報酬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
五、結論與建議29
5.1 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
5.2 研究限制與建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2023-2-1

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