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題名 跨市場時間序列動能策略，以股市與加密貨幣市場為例
Cross-Market Momentum Strategies: Evidence from the Stock Market and Cryptocurrency Market作者 王炳淳
Wang, Ping-Chun貢獻者 岳夢蘭
Yueh Meng-Lan
王炳淳
Wang, Ping-Chun關鍵詞 跨市場動能策略
時間序列動能效應
加密貨幣
Cross-market momentum strategy
Time-series momentum effect
Cryptocurrency日期 2024 上傳時間 5-八月-2024 13:42:31 (UTC+8) 摘要 本研究探討跨市場動能策略在股市和加密貨幣市場中的應用及其有效性。我們使用 2014 至 2023 年間 Coinmarketcap 提供的加密貨幣數據和 CRSP US Total Market 指數的股市數據。結果顯示，加密貨幣市場的時間序列動能效應顯著，兩市場間的動能資訊可互為正向預測指標。基於此，建立的跨市場時間序列動能策略在控制傳統風險因子後，依然能產生超額報酬，且表現優於單純持有策略和同市場的時間序列動能策略。然而，同市場的時間序列動能對此策略有顯著的解釋力，尤其在加密貨幣市場中更為明顯。
This study explores the application and effectiveness of cross-market momentum strategies in the stock and cryptocurrency markets. We utilized cryptocurrency data from Coinmarketcap and stock market data from the CRSP US Total Market Index, covering the period from 2014 to 2023. The results show that the time-series momentum effect in the cryptocurrency market is significant, and momentum information between the two markets can serve as positive predictive indicators for each other. The cross-market time-series momentum strategy established on this basis still exhibits excess returns after controlling for traditional risk factors and outperforms both a simple buy-and-hold strategy and single-market time-series momentum strategies. However, single-market time-series momentum has significant explanatory power for this strategy, particularly in the cryptocurrency market.參考文獻 Alexander, C., & Dakos, M. (2019). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223-249. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177-189. Bianchi, D. (2020). Cryptocurrencies as an asset class? an empirical assessment. The Journal of Alternative Investments, 23(2), 162-179 Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Chordia, T., & Swaminathan, B. (2000). Trading volume and cross‐autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. Corbet, S., Meegan, A., Lucey, B., Urquhart, A., & Yarovaya, L. (2017). Cryptocurrency: A new investment opportunity? Journal of Asset Management, 18(4), 396-409. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐ and overreactions. The Journal of Finance, 53(6), 1839-1885. Detzel, A., Liu, H., Strauss, J., Zhou, G., & Zhu, Y. (2021). Learning and predictability via technical analysis: evidence from Bitcoin and stocks with hard‐to‐value fundamentals. Financial Management, 50(1), 107-137. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465. Geczy, C. C., & Samonov, M. (2017). Two centuries of multi-asset momentum (2017). SSRN Electronic Journal. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kyriazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67. Liu, Y., & Tsyvinski, A. (2020). Risks and returns of cryptocurrency. The Review of Financial Studies, 34(6), 2689-2727. Liu, Y., Tsyvinski, A., & Wu, X. (2022). Common risk factors in cryptocurrency. The Journal of Finance, 77(2), 1133-1177. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Pelster, M., Breitmayer, B., & Hasso, T. (2019). Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts. Economic Letters, 182, 98-100. Pitkäjärvi, M., Suominen, M., & Vaittinen, L. (2020). Cross-asset signals and time series momentum. Journal of Financial Economics, 136(1), 63-85. Shen, D., Urquhart, A., & Wang, P. (2019). Does Twitter predict Bitcoin? Economics Letters, 174, 118-122. 描述 碩士
國立政治大學
財務管理學系
111357011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357011 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh Meng-Lan en_US dc.contributor.author (作者) 王炳淳 zh_TW dc.contributor.author (作者) Wang, Ping-Chun en_US dc.creator (作者) 王炳淳 zh_TW dc.creator (作者) Wang, Ping-Chun en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-八月-2024 13:42:31 (UTC+8) - dc.date.available 5-八月-2024 13:42:31 (UTC+8) - dc.date.issued (上傳時間) 5-八月-2024 13:42:31 (UTC+8) - dc.identifier (其他 識別碼) G0111357011 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152722 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 111357011 zh_TW dc.description.abstract (摘要) 本研究探討跨市場動能策略在股市和加密貨幣市場中的應用及其有效性。我們使用 2014 至 2023 年間 Coinmarketcap 提供的加密貨幣數據和 CRSP US Total Market 指數的股市數據。結果顯示，加密貨幣市場的時間序列動能效應顯著，兩市場間的動能資訊可互為正向預測指標。基於此，建立的跨市場時間序列動能策略在控制傳統風險因子後，依然能產生超額報酬，且表現優於單純持有策略和同市場的時間序列動能策略。然而，同市場的時間序列動能對此策略有顯著的解釋力，尤其在加密貨幣市場中更為明顯。 zh_TW dc.description.abstract (摘要) This study explores the application and effectiveness of cross-market momentum strategies in the stock and cryptocurrency markets. We utilized cryptocurrency data from Coinmarketcap and stock market data from the CRSP US Total Market Index, covering the period from 2014 to 2023. The results show that the time-series momentum effect in the cryptocurrency market is significant, and momentum information between the two markets can serve as positive predictive indicators for each other. The cross-market time-series momentum strategy established on this basis still exhibits excess returns after controlling for traditional risk factors and outperforms both a simple buy-and-hold strategy and single-market time-series momentum strategies. However, single-market time-series momentum has significant explanatory power for this strategy, particularly in the cryptocurrency market. en_US dc.description.tableofcontents 第一章 緒論 1 第二章 文獻回顧 2 第三章 研究方法 6 第一節 樣本來源與資料篩選 6 第二節 風險控制因子建立 7 第三節 時間序列動能判定與預測性 9 第四節 策略建立與測試 11 第四章 實證分析與結果 15 第一節 時間序列動能判定 15 第二節 時間序列動能預測性 20 第三節 跨市場時間序列動能策略測試與呈現 31 第五章 結論與建議 43 參考文獻 44 zh_TW dc.format.extent 2926505 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357011 en_US dc.subject (關鍵詞) 跨市場動能策略 zh_TW dc.subject (關鍵詞) 時間序列動能效應 zh_TW dc.subject (關鍵詞) 加密貨幣 zh_TW dc.subject (關鍵詞) Cross-market momentum strategy en_US dc.subject (關鍵詞) Time-series momentum effect en_US dc.subject (關鍵詞) Cryptocurrency en_US dc.title (題名) 跨市場時間序列動能策略，以股市與加密貨幣市場為例 zh_TW dc.title (題名) Cross-Market Momentum Strategies: Evidence from the Stock Market and Cryptocurrency Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alexander, C., & Dakos, M. (2019). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223-249. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177-189. Bianchi, D. (2020). Cryptocurrencies as an asset class? an empirical assessment. The Journal of Alternative Investments, 23(2), 162-179 Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Chordia, T., & Swaminathan, B. (2000). Trading volume and cross‐autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. Corbet, S., Meegan, A., Lucey, B., Urquhart, A., & Yarovaya, L. (2017). Cryptocurrency: A new investment opportunity? Journal of Asset Management, 18(4), 396-409. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐ and overreactions. The Journal of Finance, 53(6), 1839-1885. Detzel, A., Liu, H., Strauss, J., Zhou, G., & Zhu, Y. (2021). Learning and predictability via technical analysis: evidence from Bitcoin and stocks with hard‐to‐value fundamentals. Financial Management, 50(1), 107-137. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465. Geczy, C. C., & Samonov, M. (2017). Two centuries of multi-asset momentum (2017). SSRN Electronic Journal. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kyriazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67. Liu, Y., & Tsyvinski, A. (2020). Risks and returns of cryptocurrency. The Review of Financial Studies, 34(6), 2689-2727. Liu, Y., Tsyvinski, A., & Wu, X. (2022). Common risk factors in cryptocurrency. The Journal of Finance, 77(2), 1133-1177. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Pelster, M., Breitmayer, B., & Hasso, T. (2019). Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts. Economic Letters, 182, 98-100. Pitkäjärvi, M., Suominen, M., & Vaittinen, L. (2020). Cross-asset signals and time series momentum. Journal of Financial Economics, 136(1), 63-85. Shen, D., Urquhart, A., & Wang, P. (2019). Does Twitter predict Bitcoin? Economics Letters, 174, 118-122. zh_TW
