比特幣與金融資產之避險績效分析

加密貨幣在動盪金融市場中受到投資人的高度關注，大幅度的報酬漲跌空間加速市場資金流動，欲掌握獲利機會需要承擔高風險不確定性，所以適當採取避險策略能夠降低資產價格跌落之損失，理性投資人可透過避險操作分散加密貨幣的持有風險。本文以加密貨幣市場中交易量最多的比特幣作為避險主題，探究其他金融資產是否能夠對其產生避險作用。通過DCC-GARCH建構避險模型，並考量新冠肺炎爆發後造成的市場衝擊，將研究導入疫情變因，分析疫情發生前和發生後的避險績效差異。研究變數資料取自比特幣(BTC)、美國十年期公債殖利率期貨(TNX)、先鋒標準普爾500成長指數ETF(VOOG)、標準普爾500波動指數(VIX)、西德州原油期貨(WTI)、芝商所黃金期貨(GOLD)、美元指數(USDX)和那斯達克綜合指數(IXIC)以上八個金融資產之每週收盤價，作為股票、基金、期貨和匯率市場之代表性商品進行投資組合避險績效比較。實證避險績效表現DCC-GARCH較OLS模型更佳，並顯示波動指數和美股大盤能夠對比特幣波動價格在不同區間段中，分別起到較高之避險作用。

關鍵字

加密貨幣；比特幣；避險； DCC-GARCH模型

並列摘要

Cryptocurrencies are highly concerned by investors in the unstable financial market, the rise and fall of price compensation makes market funds flow faster. Investors need to bear high risks and uncertainties if they want to grasp the opportunity of price difference. Therefore, rational investors will adopt appropriate hedging strategies to reduce the losses caused by the decline in asset prices and disperse the risk of holding cryptocurrencies. This article takes bitcoin, the most traded currency in the cryptocurrency market as the research topic. Construct a hedging model through DCC-GARCH, incorporate the impact of the COVID-19 outbreak into the study, and analyze the difference in hedging performance before and after the COVID-19. Research use weekly closing price of bitcoin (BTC), 10-year U.S. treasury yield on ICE futures (TNX), Vanguard S P 500 growth index ETF (VOOG), S P 500 volatility index (VIX), crude oil WTI futures (WTI), gold futures on CME (GOLD), USD index (USDX) and Nasdaq composite index (IXIC), as a portfolio to compare the effect of hedging. The empirical results show that DCC-GARCH is better than OLS model in hedging performance, it also shows that the volatility index and the U.S. stock market can play a higher hedging effect on the fluctuating price of Bitcoin in different time periods.