加密貨幣的定價與金融壓力及政策不確定性之關聯

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姓名	李語潔(Yu-Chieh Lee) 查詢紙本館藏	畢業系所	產業經濟研究所
論文名稱	加密貨幣的定價與金融壓力及政策不確定性之關聯 (Cryptocurrency Pricing, Financial Stress Index, and Economic Policy Uncertainty)
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摘要(中)	本論文想藉由因子模型探討加密貨幣的超額報酬和金融壓力及經濟政策不確定性之關聯，使用Deng et al. (2019) 的四因子模型，其中包含市場因子、規模因子、流動性因子及動能因子，並再加入金融壓力指數 (FSI) 及經濟政策不確定性指數 (EPU)，並採用不同國家的EPU加以分析其結果是否存在差異。實證結果顯示，加密貨幣超額報酬和金融壓力指數不存在顯著相關性，但兩者關係趨向負相關，另外和全球EPU指數則部分呈現負向顯著相關，即當經濟政策的不確定性增加時，加密貨幣的超額報酬會下降，但不受單一國家EPU影響。
摘要(英)	This thesis uses the factor model to explore the relationship between cryptocurrency’s excess return and financial stress and economic policy uncertainty. Using the four-factor model of Deng et al. (2019), which includes market, size, liquidity and contrarian factors, we further add the Financial Stress Index (FSI) and Economic Policy Uncertainty Index (EPU) into the factor model, and also use the EPU of different countries to analyze whether the results are different. The empirical results show that there is no significant correlation between cryptocurrency’s excess return and financial stress index, but the relationship between the two tends to be negatively correlated. In addition, it is partially negatively correlated with the global EPU index, that is, when the uncertainty of economic policy increases, the return of the cryptocurrency will decrease, but it is not affected by the EPU of a single country.
關鍵字(中)	★ 加密貨幣 ★ 因子模型 ★ 金融壓力指數 ★ 經濟政策不確定性指數	關鍵字(英)	★ Cryptocurency ★ Factor model ★ Financial Stress Index ★ Economic Policy Uncertainty
論文目次	摘要 i Abstract ii 誌謝 iii 目錄 iv 圖目錄 v 表目錄 v 第一章緒論 1 第一節研究背景與動機 1 第二節研究目的 3 第二章比特幣及加密貨幣市場簡介 5 第三章文獻回顧 8 第一節比特幣在金融市場中的定位 8 第二節運用資本資產定價模型分析影響比特幣報酬因子 10 第三節探討比特幣和金融壓力指數關係的文獻 12 第四章研究方法 14 第一節研究期間與資料來源 14 第二節定價模型 15 第三節金融壓力指數 17 第四節經濟政策不確定性指數 19 第五章實證結果分析 21 第一節敘述性統計 21 第二節迴歸分析 22 (1) 四因子模型 22 (2) 虛擬變數 24 第六章結論 26 參考文獻 27
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指導教授	高櫻芬鄒孟文(Yin‑Feng Gau Meng-Wen Tsou)	審核日期	2020-7-21
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