影響幣安幣價格因素及投資績效評估

近年來隨著金融及科技的發展，全世界的金融投資品項出現重大轉變，不再侷限於傳統商品，未來元宇宙將是主導市場的主要力量，而金融商品的結構必將面臨改變，加密貨幣的幣種交易及地位也將與過往不相同。然而，其交易變化對金融市場仍發揮相對應的影響力。因此，本文中以近三年成長的幣安交易所發行之幣安幣為研究標的，並將比特幣、標普500指數、納斯達克綜合指數、原油期貨、黃金期貨的每日波動率納入相關變數進行探討。本研究資料含蓋2017年7月17日至2021年12月31日期間的日資料，並以此資料進行實證研究，首先針對探討的變數進行資料敘述統計、再以多元迴歸模型及技術分析模型等計量方法建立實證模型。本文實證結果顯示，一、除了納斯達克綜合指數外，比特幣、標普500指數、原油期貨、黃金期貨等變數均對幣安幣報酬率有顯著影響。二、透過技術指標找到買賣點的交易策略確實能創造不錯的投資績效，其中以KD法則的績效無論在疫情前後均最佳。

關鍵字

加密貨幣；比特幣；幣安幣；多元迴歸模型；技術分析模型

並列摘要

With the development of finance and technology in recent years, the world's financial investments have undergone significant changes and are no longer limited to traditional commodities. However, the changes in trading will still have a corresponding impact on the financial market. Therefore, in this paper, the daily volatility of Bitcoin, S P 500 Index, NASDAQ Composite Index, Crude Oil Futures, and Gold Futures are included as relevant variables in the study. This study covers daily data from July 17, 2017 to December 31, 2021, and the data is used to conduct an empirical study. The first step is to conduct a statistical description of the variables under study, and then to establish an empirical model using a multivariate regression model and a technical analysis model. The empirical results show that, first, in addition to the NASDAQ Composite Index, Bitcoin, S P 500 Index, crude oil futures, and gold futures all have significant effects on the return of the coin. Second, the trading strategy of finding buy and sell points through technical indicators can indeed create good investment performance, among which the KD rule has the best performance both before and after the epidemic