比特幣：投機與避險？

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。\n\n實證結果顯示比特幣市場大多時候充斥著投機交易。知情投資者在訊息不對稱的情況下，擁有對比特幣的未來私人信息，並會在訊息尚未公布之前，出於投機動機而交易比特幣。隨著私人信息的公開，原本預期的價格會逐漸實現，最終反映知情投資者對未來報酬的預期。而在市場情緒動盪高波動的時刻，投資者出於避險動機，改變持有權重來降低其非交易資產的風險，可能造成市場大量拋售或是看空的情況，並在該期間產生負報酬。此類價格變化並不包含未來報酬的信息，價格最終會相應調整，並吸引其他投資者進入市場，導致下一期預期報酬的增加，因此避險交易產生的報酬容易出現反轉的現象。

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.\n\nThe 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.