- 學位論文
加密貨幣價量關係探討 比特幣與乙太坊之證據
The Price-Volume Relationship of Cryptocurrencies－Evidence from Bitcoin and Ethereum
摘要
本研究以比特幣及乙太坊兩種加密貨幣作為研究標的，研究2021年1月1日至2021年12月31日之價格與交易量資料，探討兩種加密貨幣價格與交易量之間是否存在因果關係。本研究首先使用ADF及KPSS兩種單根檢定以檢驗資料是否呈現定態，兩種單根檢定結果皆表明在資料經過一次差分過後都呈現為定態資料，並透過非線性共整合分析兩種加密貨幣之價格與交易量資料，發現兩種加密貨幣之價格與交易量之間具有共整合關係，再利用Granger因果關係及非線性門檻誤差修正模型，分別探討以價格或是交易量作為被解釋變數，來研究價格與交易量之間的因果關係，結果表明，短期互動下，比特幣之價格與交易量不具有因果關係，而乙太坊交易量對價格存在單向因果關係，在長期互動下，比特幣價格在偏離程度較大時對比特幣交易量具有單向因果關係，而乙太坊之交易量不論偏離程度如何都對價格存在因果關係，本研究希望此結果能夠對投資人預測比特幣及乙太坊價格有所幫助。
並列摘要
This paper takes Bitcoin and Ethereum as the research targets, studies the price and trading volume data from January 1, 2021 to December 31, 2021, and empirically investigates the price-volume relationship of Bitcoin and Ethereum. First, ADF and KPSS unit-root tests were used to test whether the data were in stationary. Secondly, the study use the nonlinear co-integration test to analyze the long-term equilibrium relationship between price and volume of two cryptocurrencies, and then using the Granger-Causality test and the M-TECM model to study the causal relationship between two variables. The results show that under short-term interaction, the price and trading volume of Bitcoin do not have a causal relationship, while the trading volume of Ethereum has a one-way causal relationship with the price. In the long-term interaction, the price of Bitcoin has a one-way causal relationship with the trading volume of Bitcoin when the degree of deviation is large, while the transaction volume of Ethereum has a causal relationship with the price. This study hopes that this result can be helpful for investors to predict the prices of Bitcoin and Ethereum.