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題名 影響加密貨幣市場的短期及長期因素
The determinants of cryptocurrency market in short-run and long-run
作者 簡嘉宏
Jian, Jia-Hung
貢獻者 林柏生
Lin, Po-Sheng
簡嘉宏
Jian, Jia-Hung
關鍵詞 加密貨幣
比特幣
Cryptocurrency
Bitcoin
ARDL
日期 2018
上傳時間 13-Jul-2018 15:12:38 (UTC+8)
摘要 BitCoin誕生於2008年金融海嘯，BitCoin剛出現時並沒有受到太多人的關注，直到2013年開始，BitCoin價格成長快速，使許多投資人開始購買BitCoin，同時BitCoin具有去中心化的優點，被認為是取代政府所發行法幣的下一種貨幣，因此許多人開始相信BitCoin是未來的貨幣，而且有區塊鏈的加密技術，使人們更相信BitCoin的安全性。但由於BitCoin價格波動太大，導致許多人質疑他是否是貨幣，同時許多原本接受BitCoin的店家開始拒絕使用BitCoin，因此有很多相關文獻在探討BitCoin是否是貨幣，也有很多文獻探討哪些因素影響BitCoin的價格。
本文主要是探討加密貨幣市場主要是受到國際經濟因素的影響，還是受到公眾關注度影響，進而影響加密貨幣市值增加或下降，同時本文將加密貨幣市場分為使用 PoW (Proof-of-Work)及不使用PoW的加密貨幣，除了分析兩者的關係之外，也分析經濟因素及公眾關注度對兩者的影響。經濟因素和公眾關注因素都對PoW加密貨幣及非PoW加密貨幣市值有長期均衡關係，而且兩者市值有長期均衡關係。
BitCoin was born in the 2008 financial crisis. BitCoin didn`t get much attention when it first appeared. Until 2013, BitCoin`s price grew rapidly, and many investors started to buy BitCoin. At the same time, BitCoin has the advantage of decentralization. It is the next currency to replace the government-issued fiat money, so many people are beginning to believe that BitCoin is the future currency, and there are blockchain encryption technologies that make people believe in the security of BitCoin. However, due to the price fluctuations of BitCoin, many people questioned whether it was a currency or not. At the same time, many shops that originally accepted BitCoin began to refuse to use BitCoin. Therefore, there are many related papers to discuss whether BitCoin is a currency, and there are many papers to discuss what affect Bitcoin`s price.
This paper mainly discusses whether the cryptocurrency market is mainly influenced by international economic factors, or whether it is influenced by public attention, and then affects the increase or decrease of the cryptocurrency market value. This paper also divides the cryptocurrency market into PoW (Proof-of-Work) and non-PoW cryptocurrencies. In addition to analyzing the relationship between them, we analyze the impact of economic factors and public attention on them. Both economic factors and public concerns have a long-run relationship between the market value of PoW cryptocurrencies and non-PoW cryptocurrencies, and there is a long-run relationship between PoW cryptocurrencies and non-PoW cryptocurrencies.
參考文獻 英文文獻
1. Barber, B., & Odean, T. (2008). All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies, 21 (2), 785-818.
2. Baur, D. G., Hong, K., & Lee, A. D. (2017). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money.
3. Bernholz, P., & Gersbach, H. (1992). Gresham’s Law: Theory. The new palgrave dictionary of money and finance, 2, 286-288.
4. Board, F. S. (2016). and International Monetary Fund (IMF)(2016). The Financial Crisis and Information Gaps, Second Phase of the G-20 Data Gaps Initiative (DGI-2)–First Progress Report.
5. Bouoiyour, J., & Selmi, R. (2015). What does Bitcoin look like? Annals of Economics & Finance, 16(2).
6. Bouoiyour, J., Selmi, R., & Tiwari, A. (2014). Is Bitcoin business income or speculative bubble? Unconditional vs. conditional frequency domain analysis.
7. Brunnermeier, M. K., & Pedersen, L. H. (2009). Funding liquidity and market liquidity. Review of Financial Studies, 22(2201-2238), 6.
8. Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36.
9. Ciaian, P., & Rajcaniova, M. (2018). Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195.
10. Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016). The economics of BitCoin price formation. Applied Economics, 48(19), 1799-1815.
11. Cywiński, Ł. (2015). DIGITAL MONEY: DANGERS AND OPPORTUNITIES.
12. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
13. Gandal, N., & Halaburda, H. (2016). Can we predict the winner in a market with network effects? Competition in cryptocurrency market. Games, 7(3), 16.
14. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919.
15. Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M., & Siering, M. (2014). Bitcoin-asset or currency? revealing users` hidden intentions.
16. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
17. Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. The Review of Financial Studies, 17(2), 439-461.
18. Hurlin, C., & Venet, B. (2001). Granger causality tests in panel data models with fixed coefficients. Cahier de Recherche EURISCO, September, Université Paris IX Dauphine.
19. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254.
20. Kristoufek, L. (2015). What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PloS one, 10(4), e0123923.
21. Kyle, A. S., & Xiong, W. (2001). Contagion as a wealth effect. The Journal of Finance, 56(4), 1401-1440.
22. Li, X., & Wang, C. A. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, 49-60.
23. Mundell, R. (1998). Uses and Abuses of Gresham`s Law in the History of Money. Zagreb Journal of Economics, 2(2), 3-38.
24. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.
25. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
26. Osterrieder, J., Lorenz, J., & Strika, M. (2016). Bitcoin and cryptocurrencies-not for the faint-hearted.
27. Parker, J., Buchholz, M., Warren, J., & Delaney, J. (2012). Buchholz {\\&} al.-Bits and Bets Information, Price Volatility, and Demand for Bitcoin (Independent).
28. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
29. Rolnick, A. J., & Weber, W. E. (1986). Gresham`s law or Gresham`s fallacy? Journal of political economy, 94(1), 185-199.
30. Selgin, G. (2015). Synthetic commodity money. Journal of Financial Stability, 17, 92-99.
31. van Wijk, D. (2013). What can be expected from the BitCoin. Erasmus Universiteit Rotterdam.
 
中文文獻
1. 陳旭昇. (2013). 時間序列分析: 總體經濟與財務金融之應用: 臺灣東華.
網路資料
1. 陳翠，比特幣挖礦機耗電量_挖比特幣為什麼費電，上網日期: 2017年12月23日，檢自: http://www.elecfans.com/xinkeji/606911.html
2. Alex de Vries，BitCoin Energy Consumption Index，上網日期: 2018年4月15日，檢自: https://digiconomist.net/bitcoin-energy-consumption
描述 碩士
國立政治大學
國際經營與貿易學系
105351035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105351035
資料類型 thesis
dc.contributor.advisor 林柏生zh_TW
dc.contributor.advisor Lin, Po-Shengen_US
dc.contributor.author (Authors) 簡嘉宏zh_TW
dc.contributor.author (Authors) Jian, Jia-Hungen_US
dc.creator (作者) 簡嘉宏zh_TW
dc.creator (作者) Jian, Jia-Hungen_US
dc.date (日期) 2018en_US
dc.date.accessioned 13-Jul-2018 15:12:38 (UTC+8)-
dc.date.available 13-Jul-2018 15:12:38 (UTC+8)-
dc.date.issued (上傳時間) 13-Jul-2018 15:12:38 (UTC+8)-
dc.identifier (Other Identifiers) G0105351035en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118642-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 105351035zh_TW
dc.description.abstract (摘要) BitCoin誕生於2008年金融海嘯，BitCoin剛出現時並沒有受到太多人的關注，直到2013年開始，BitCoin價格成長快速，使許多投資人開始購買BitCoin，同時BitCoin具有去中心化的優點，被認為是取代政府所發行法幣的下一種貨幣，因此許多人開始相信BitCoin是未來的貨幣，而且有區塊鏈的加密技術，使人們更相信BitCoin的安全性。但由於BitCoin價格波動太大，導致許多人質疑他是否是貨幣，同時許多原本接受BitCoin的店家開始拒絕使用BitCoin，因此有很多相關文獻在探討BitCoin是否是貨幣，也有很多文獻探討哪些因素影響BitCoin的價格。
本文主要是探討加密貨幣市場主要是受到國際經濟因素的影響，還是受到公眾關注度影響，進而影響加密貨幣市值增加或下降，同時本文將加密貨幣市場分為使用 PoW (Proof-of-Work)及不使用PoW的加密貨幣，除了分析兩者的關係之外，也分析經濟因素及公眾關注度對兩者的影響。經濟因素和公眾關注因素都對PoW加密貨幣及非PoW加密貨幣市值有長期均衡關係，而且兩者市值有長期均衡關係。		zh_TW
dc.description.abstract (摘要) BitCoin was born in the 2008 financial crisis. BitCoin didn`t get much attention when it first appeared. Until 2013, BitCoin`s price grew rapidly, and many investors started to buy BitCoin. At the same time, BitCoin has the advantage of decentralization. It is the next currency to replace the government-issued fiat money, so many people are beginning to believe that BitCoin is the future currency, and there are blockchain encryption technologies that make people believe in the security of BitCoin. However, due to the price fluctuations of BitCoin, many people questioned whether it was a currency or not. At the same time, many shops that originally accepted BitCoin began to refuse to use BitCoin. Therefore, there are many related papers to discuss whether BitCoin is a currency, and there are many papers to discuss what affect Bitcoin`s price.
This paper mainly discusses whether the cryptocurrency market is mainly influenced by international economic factors, or whether it is influenced by public attention, and then affects the increase or decrease of the cryptocurrency market value. This paper also divides the cryptocurrency market into PoW (Proof-of-Work) and non-PoW cryptocurrencies. In addition to analyzing the relationship between them, we analyze the impact of economic factors and public attention on them. Both economic factors and public concerns have a long-run relationship between the market value of PoW cryptocurrencies and non-PoW cryptocurrencies, and there is a long-run relationship between PoW cryptocurrencies and non-PoW cryptocurrencies.		en_US
dc.description.tableofcontents 目錄
摘要 I
ABSTRACT II
目錄 III
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻回顧與貢獻 6
第一節 加密貨幣相關文獻 6
第二節 加密貨幣的共識機制及發送方法 10
第三章 研究方法 14
第一節 變數定義與資料來源 14
第二節 單根檢定 16
第三節 因果關係檢定 19
第四節 ARDL模型及邊界共整合檢定 20
第四章 實證結果與分析 23
第一節 單根檢定 23
第二節 因果關係檢定 26
第三節 ARDL模型估計及邊界共整合檢定結果 29
第五章 結論 38
參考文獻 42
英文文獻 42
中文文獻 45
網路資料 45

圖目錄
圖1研究架構 5
圖2分析架構 15
圖 3模型變數原始資料時間序列圖 15

表目錄
表1 ADF單根檢定表 24
表2 PP單根檢定表 25
表3 Pairwise Granger Causality Tests 27
表4 以BIC選擇最合適的落後期數及ARDL模型 31
表5 邊界共整合檢定結果 32
表6 長期係數估計 34
表7 ARDL-ECM 36		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105351035en_US
dc.subject (關鍵詞) 加密貨幣zh_TW
dc.subject (關鍵詞) 比特幣zh_TW
dc.subject (關鍵詞) Cryptocurrencyen_US
dc.subject (關鍵詞) Bitcoinen_US
dc.subject (關鍵詞) ARDLen_US
dc.title (題名) 影響加密貨幣市場的短期及長期因素zh_TW
dc.title (題名) The determinants of cryptocurrency market in short-run and long-runen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 英文文獻
1. Barber, B., & Odean, T. (2008). All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies, 21 (2), 785-818.
2. Baur, D. G., Hong, K., & Lee, A. D. (2017). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money.
3. Bernholz, P., & Gersbach, H. (1992). Gresham’s Law: Theory. The new palgrave dictionary of money and finance, 2, 286-288.
4. Board, F. S. (2016). and International Monetary Fund (IMF)(2016). The Financial Crisis and Information Gaps, Second Phase of the G-20 Data Gaps Initiative (DGI-2)–First Progress Report.
5. Bouoiyour, J., & Selmi, R. (2015). What does Bitcoin look like? Annals of Economics & Finance, 16(2).
6. Bouoiyour, J., Selmi, R., & Tiwari, A. (2014). Is Bitcoin business income or speculative bubble? Unconditional vs. conditional frequency domain analysis.
7. Brunnermeier, M. K., & Pedersen, L. H. (2009). Funding liquidity and market liquidity. Review of Financial Studies, 22(2201-2238), 6.
8. Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36.
9. Ciaian, P., & Rajcaniova, M. (2018). Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195.
10. Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016). The economics of BitCoin price formation. Applied Economics, 48(19), 1799-1815.
11. Cywiński, Ł. (2015). DIGITAL MONEY: DANGERS AND OPPORTUNITIES.
12. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
13. Gandal, N., & Halaburda, H. (2016). Can we predict the winner in a market with network effects? Competition in cryptocurrency market. Games, 7(3), 16.
14. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919.
15. Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M., & Siering, M. (2014). Bitcoin-asset or currency? revealing users` hidden intentions.
16. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.
17. Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. The Review of Financial Studies, 17(2), 439-461.
18. Hurlin, C., & Venet, B. (2001). Granger causality tests in panel data models with fixed coefficients. Cahier de Recherche EURISCO, September, Université Paris IX Dauphine.
19. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2-3), 231-254.
20. Kristoufek, L. (2015). What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PloS one, 10(4), e0123923.
21. Kyle, A. S., & Xiong, W. (2001). Contagion as a wealth effect. The Journal of Finance, 56(4), 1401-1440.
22. Li, X., & Wang, C. A. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, 49-60.
23. Mundell, R. (1998). Uses and Abuses of Gresham`s Law in the History of Money. Zagreb Journal of Economics, 2(2), 3-38.
24. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.
25. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
26. Osterrieder, J., Lorenz, J., & Strika, M. (2016). Bitcoin and cryptocurrencies-not for the faint-hearted.
27. Parker, J., Buchholz, M., Warren, J., & Delaney, J. (2012). Buchholz {\\&} al.-Bits and Bets Information, Price Volatility, and Demand for Bitcoin (Independent).
28. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
29. Rolnick, A. J., & Weber, W. E. (1986). Gresham`s law or Gresham`s fallacy? Journal of political economy, 94(1), 185-199.
30. Selgin, G. (2015). Synthetic commodity money. Journal of Financial Stability, 17, 92-99.
31. van Wijk, D. (2013). What can be expected from the BitCoin. Erasmus Universiteit Rotterdam.
 
中文文獻
1. 陳旭昇. (2013). 時間序列分析: 總體經濟與財務金融之應用: 臺灣東華.
網路資料
1. 陳翠，比特幣挖礦機耗電量_挖比特幣為什麼費電，上網日期: 2017年12月23日，檢自: http://www.elecfans.com/xinkeji/606911.html
2. Alex de Vries，BitCoin Energy Consumption Index，上網日期: 2018年4月15日，檢自: https://digiconomist.net/bitcoin-energy-consumption		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.IB.017.2018.F06-