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Title: 比特幣:投機與避險?
Bitcoin:Speculative Trading or Hedging?
Authors: 黃騵禾
Huang, Yuan-Ho
Contributors: 徐士勛

Hsu, Shih­-Hsun
Chiu, Huei­-Yu

Huang, Yuan-Ho
Keywords: 比特幣
Speculative trading
LMSW model
Markov switching model
Date: 2021
Issue Date: 2021-09-02 17:41:40 (UTC+8)
Abstract: 本研究探討比特幣在新冠肺炎疫情(Covid19)經濟衰退下,比特幣市場主要是由是投機性交易或是避險性交易為主導。有別於研究比特幣與其他資產的動態關聯性去檢驗其避險或投機性,本文從投資者的動機與交易目的作為切入,採用Llorente et al. (2002) 有關市場投資人因訊息不對稱(Information asymmetry),不同動機產生的報酬與交易量的動態關係,來檢驗市場是由投機或避險交易主導。並採用Hamilton(1989) 馬可夫轉換模型(Markov Switching Model) 捕捉繁複的動態與狀態改變的行為。

This research explores whether Bitcoin market is dominated by speculative trading or hedging during the Covid19 recession. Instead of studying the relation between Bitcoin and other assets, we based on Llorente et al.(2002)s’information asymmetry theory, which observes the specific pattern of the returns and volume generated by different motivations, to test whether the market is dominated by speculation or hedging transactions. Also, we employ Markov switching model to capture the state-changing behaviors.

The empirical result shows that Bitcoin market is mostly dominated by speculative trading during the time. Informed investors have private information about the future Bitcoin return, and they would speculate in Bitcoin. With the disclosure of private information, the price would gradually be realized and eventually reflect their expectations. When the market is turbulent, investors would change their holding out of risk-averse motives. The price would adjust by attracting other investors to enter the market and the returns generated by risk-sharing trades tend to reverse themselves.
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