美國股市與黃金對比特幣報酬的影響

本研究透過美國股市與黃金報酬率的變化是否會對比特幣報酬率產生影響，也使用VIX恐慌指數衡量之恐慌與平穩期間、QE4(第四輪量化寬鬆政策)期間內、比特幣市占比以虛擬變數與自變數的交乘項，來驗證這些狀況下的美國股市與黃金報酬率是否會對原結果產生變化。實證結果顯示美國股市與黃金報酬率都都與比特幣報酬率有正相關，其中美國股市影響最大。另外也發現美國股市報酬率與黃金報酬率的前期值是無法對比特幣報酬率來做日後預測的。而在QE4期間內、恐慌期間會增加美國股市報酬率的影響程度；在平穩期間，則會減弱美國股市報酬率影響程度，在比特幣在加密貨幣的市占比過半的情況下黃金出現正向顯著且美國股市顯著程度下降且減弱其影響程度；而在比特幣在加密貨幣的市占比未過半時，美國股市正向顯著且黃金不顯著。依實證結果，比特幣近五年來在市場上的定位還是偏向於與美股連動性高的金融商品，具有非常強的市場資訊傳遞效果。

關鍵字

比特幣報酬率；美國股市報酬率；黃金報酬率

並列摘要

This study examines whether changes in the returns of the US stock market and gold have an impact on the returns of Bitcoin. It also utilizes the VIX fear index to measure periods of fear and stability, as well as the interaction terms of virtual variables and independent variables during the QE4 (fourth round of quantitative easing) period, to verify whether the returns of the US stock market and gold during these conditions alter the original results. The empirical results indicate a positive correlation between the returns of both the US stock market and gold with the returns of Bitcoin, with the US stock market having the greatest influence. Additionally, it is observed that the previous values of the returns of the US stock market and gold cannot predict the future returns of Bitcoin. During the QE4 period and periods of fear, the impact of the returns of the US stock market increases, while it weakens during periods of stability. When Bitcoin's market dominance in the cryptocurrency market exceeds 50%, gold exhibits a positive and significant impact, accompanied by a decrease and weakening in the significance and influence of the US stock market. However, when Bitcoin's market dominance in the cryptocurrency market is below 50%, the US stock market shows a positive and significant impact, while gold is not significant. Based on the empirical results, Bitcoin's positioning in the market over the past five years leans towards being highly correlated with the US stock market, indicating a strong market information transmission effect.