比特幣風險與報酬之抵換關係

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姓名

張瀚(Han Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

比特幣風險與報酬之抵換關係
(Risk-Return Relationship in the Cryptocurrency Market)

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至系統瀏覽論文 (2026-1-31以後開放)

摘要(中)

本文研究比特幣報酬與風險之間的關係，並以Corsi (2009) 提出之異質自我迴歸已實現波動率 (Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV) 模型計算波動率，透過引入具有長記憶 (long memory)特性的條件變異估計式，來分析加密貨幣市場之風險報酬抵換關係。使用2018年1月至2022年9月期間之比特幣的五分鐘日內高頻資料，同時考慮上、下行風險以及COVID-19流行期間造成金融市場動盪之影響，實證結果顯示比特幣的風險與報酬之間存在顯著的正向關係，同時投資人在面對下行風險時會要求更高的報酬，此現象在COVID-19流行期間尤其明顯。

摘要(英)

This thesis studies the risk-return relationship in the cryptocurrency market and uses the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV) proposed by Corsi (2009) to calculate the volatility. The HAR-RV model is a conditional variance estimator with the feature of long memory. Using the five-minute intraday high-frequency data of Bitcoin from January 2018 to September 2022, we measure upside and downside risks and take the impact of COVID-19 into account. The empirical results provide evidence of a significant positive relationship between the risk and return of Bitcoin, and investors incline to require higher returns when facing downside risks, especially during the COVID-19 epidemic.

關鍵字(中)

★ 比特幣
★ 跨期資本資產定價模型
★ 異質自我迴歸已實現波動率
★ 下行風險
★ 風險報酬關係
★ 高頻資料

關鍵字(英)

論文目次

中文摘要 i
英文摘要 ii
目錄 iii
圖目錄 v
表目錄 vi
一、緒論 1
1-1 研究背景 1
1-2 研究動機與目的 2
1-3 研究架構 3
二、文獻回顧 5
2-1 風險與報酬之關係 5
2-1-1 正向關係 6
2-1-2 負向關係 9
2-2 波動估計方法 11
2-2-1 已實現波動率 12
2-2-2 已實現半變異數 13
2-3 HAR-RV model 14
三、研究方法與模型 16
3-1 研究樣本 16
3-2 已實現波動率 16
3-3 HAR-RV 17
3-4 ICAPM 19
四、實證分析 22
4-1 初步分析 22
4-2 比特幣同期風險報酬之關係 23
4-3 比特幣受COVID-19影響之風險-報酬關係 23
五、結論 26
參考文獻 27

參考文獻

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指導教授

高櫻芬

審核日期

2023-2-1

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