- 學位論文
指數期貨崩盤風險對比特幣期貨的報酬及波動之影響
The Impact of Index Futures Crash Risk on Bitcoin Futures’ Return and Volatility
摘要
本文利用2017年12月17日至2021年7月30日的日內資料，探討E-mini S&P 500 指數期貨的崩盤風險對比特幣期貨的報酬以及其波動性的影響。本文的研究結果指出：E-mini S&P 500 指數期貨的崩盤風險對比特幣期貨的報酬並不具有顯著影響，但與比特幣期貨的波動則有正向顯著的關係，表示E-mini S&P 500 指數期貨的崩盤風險越高時，比特幣期貨的波動相對劇烈。而這種現象在新型冠狀病毒 (COVID-19) 大流行期間以及美國總統選舉後變得不顯著。除此之外，當全球 (MXWO)、新興市場 (MSCIEF) 以及已發展市場 (MSCIAC) 的指數報酬增加時，比特幣期貨的波動會隨之下降。也就是說，當金融市場處於波動時，比特幣期貨可做為避險或是風險管理工具，抵禦其他資產的不穩定，且此效果在新興市場最好。以上研究結果有利於投資人根據這些市場現象制定相應的交易策略。
並列摘要
The purpose of this thesis is to investigate the impact of the crash risk of E-mini S&P 500 Index futures on Bitcoin futures returns and its volatility. Using intraday data from December 17, 2017 to July 30, 2021, this thesis find the crash risk of E-mini S&P 500 index futures does not have a significant impact on the return of Bitcoin futures, but has a positive and significant relationship with the volatility of Bitcoin futures, indicates that the higher the crash risk of the E-mini S&P 500 index futures, the more volatile Bitcoin futures are. And this phenomenon became insignificant during the covid-19 pandemic and after the U.S. presidential election. In addition, when the index returns of global (MXWO), emerging markets (MSCIEF) and developed markets (MSCIAC) increase, the volatility of bitcoin futures will decrease. In other words, when the financial market is in volatility, Bitcoin futures can be used as a hedging or risk management tool to resist the instability of other assets, and this effect is the best in emerging markets. The above research results are beneficial for investors to formulate corresponding trading strategies according to these market phenomena.