| 摘要: | 本文主要探討加密貨幣市場之投資績效表現，欲觀察投資比特幣、以太幣、泰達幣與狗狗幣，是否能夠獲得比投資於股票市場更好的報酬，並且了解四種貨幣彼此之間的優越關係。樣本期間為 2017 年 6 月 1 日至 2021 年 12 月 31 日，並區分為疫情前後兩個子樣本加以探討。
首先，本文透過 Liu 等人 (2022) 提出的「加密貨幣市場三因子模型」，探究三種加密貨幣風險因子對於整體加密貨幣市場之影響，以及是否出現超額報酬；再者，利用「一階隨機優越法、二階隨機優越法、幾乎一階隨機優越方法」，檢驗四種加密貨幣是否優越於股票市場的 MSCI 世界指數，並分析四種加密貨幣之間是否存在優越關係；最後，透過「Omega 指標」獲得投資於五種資產在全樣本與疫情前後期間之優先排序。
實證結果顯示，從加密貨幣市場三因子模型可發現，疫情前，比特幣、以太幣、泰達幣、狗狗幣皆獲得負的超額報酬，在疫情之後，僅泰達幣仍然維持負的超額報酬，其他幣別的超額報酬都不顯著異於零。經傳統一階與二階隨機優越法，以及幾乎一階隨機優越法得知，投資於四種加密貨幣皆無法優越於 MSCI 世界指數，並且四種貨幣彼此之間亦不存在優越關係。本文進一步使用 Omega 指標對五種資產加以排序其投資優先順序，發現狗狗幣在全樣本及後疫情時期皆屬較好的投資標的，而在本文任一個研究區間，泰達幣為五種資產中最差之投資標的。;The thesis aims to explore the performance of the cryptocurrency market as an investment, specifically examining the potential for better returns compared to the stock market by investing in Bitcoin (BTC), Ether (ETH), Tether (USDT), and Dogecoin (DOGE). The sample period spans from June 1, 2017, to December 31, 2021.
First, the thesis employs the "Cryptocurrency 3-Factor Model" to investigate the impact of three cryptocurrency-specific risk factors in cryptocurrency market. And find whether there have any excess returns. Furthermore, using the "First-Order Stochastic Dominance (FSD), Second-Order Stochastic Dominance (SSD), and Almost First-Order Stochastic Dominance (AFSD)", to examines whether the four cryptocurrencies outperform the MSCI World Index (wMSCI) of the stock market and analyzes the potential dominance relationships among the four cryptocurrencies. Lastly, the thesis utilizes the Omega index to obtain a prioritized ranking of investment in the five assets across the entire sample period and pre- and post-pandemic periods.
The empirical results show that, based on the cryptocurrency 3-factor model, BTC, ETH, USDT, and DOGE all had negative excess returns before the pandemic. After the pandemic, only Tether maintained a negative excess return, while the excess returns of other currencies were not significantly different from zero. Through the traditional FSD and SSD methods, as well as the AFSD method, we can obtain the following information. The results reveal that investing in the four cryptocurrencies does not dominate the wMSCI, and there is no dominance relationship among the four cryptocurrencies themselves. Furthermore, this study utilizes the Omega index to rank the five assets and determine their investment priorities. DOGE is identified as a favorable investment target throughout the entire sample period and post pandemic period, while USDT is the least preferred investment among the five assets in all research periods. |
