VPIN能否預測比特幣的崩盤？

Can VPIN aid to forecast crashes in Bitcoin?

劉天石(Tian-Shi Liu)

指導教授 ： 郭家豪

國立交通大學/管理學院/財務金融研究所/碩士(2019年)

摘要

本研究主要探討在比特幣市場中，VPIN是否具有預測崩盤風險的能力? 我們採用Chen et al.（2001）所提出以報酬之負偏態係數(NCSKEW)來研究崩盤風險，但不同於文獻上使用日報酬資料計算每月負偏態係數，我們使用比特幣之日內報酬資料，計算每小時負偏態係數以表彰比特幣短期崩盤風險。實證結果顯示， VPIN以及落後回報率，對比特幣短期崩盤風險有著顯著的預測能力。若改採用另一崩盤風險代表變數DUVOL依然有類似的結果。但是短期內，單純的交易量上升，並不必然表示崩盤風險會增加。

關鍵字

崩盤風險 ； 比特幣 ； VPIN ； 負偏係數 ； 高至低波動率

並列摘要

This study focuses on whether VPIN has the ability to predict the crash in the bitcoin market. We use the NCSKEW (Negative coefficient of skewness) proposed by Chen et al. (2001) to indicate the crash. Our results show that in the short term, VPIN and lagging returns have significant predictive power for NCSKEW , as well as on DUVOL (down-to-up Volatility). However, in the short term, the increase in pure trading volume does not necessarily mean that the risk of crash will increase.

並列關鍵字

Crash Risk ； Bitcoin ； VPIN ； Negative coefficient of skewness ； Down-to-up Volatility

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