- 學位論文
BTC、NFT、DeFi、VIX指數與黃金指數之關聯性研究
Research on the correlation between BTC, NFT, DeFi, VIX and gold index
摘要
本研究以DeFi指數、BTC指數、黃金現貨指數、NFT指數、VIX指數為研究對象，樣本期間為2021年3月8日起到2022年5月13日，將資料進行ADF與PP單根檢定、向量自我迴歸模型、因果關係檢定、預測誤差變異數分解、迴歸分析等進行實證分析。 實證結果發現五個變數皆受自我變數影響。DeFi指數、黃金現貨指數、NFT指數、VIX指數等均顯著受前一期BTC指數影響，前一期DeFi指數、BTC指數、黃金現貨指數、NFT指數等指數均顯著影響VIX指數。由Granger配對因果關係檢定發現，看出NFT指數對DeFi指數呈現單向因果關係；DeFi指數對BTC指數則呈現雙向因果關係。再透過預測誤差變異數分解了解變數是受自身、其他變數之影響程度與解釋能力，實證結果發現，五個變數均受自身影響最大，黃金現貨指數、NFT指數在第1期之後均受到DeFi指數影響；DeFi指數、NFT指數、VIX指數在第1期之後均受到BTC指數影響，最後，透過迴歸分析發現，VIX指數、黃金現貨指數對BTC指數有顯著負向影響；DeFi指數、NFT指數對BTC指數有顯著正向影響。
並列摘要
This article uses DeFi Index, BTC Index, Gold Spot Index, NFT Index, Volatility Index as the research objects, and the sample period is from March 8, 2021 to May 13, 2022, We use Augmented Dickey-Fuller and Phillips Perron unit root tests, vector autoregression model, causality test, variance decomposition of forecast errors, regression analysis to explore the relationship among variables. This study uses DeFi Index, BTC Index, Gold Spot Index, NFT Index, and Volatility Index as observation variables. The research period is from March 8, 2021 to May 13, 2022, and daily data is used as the research sample. The research method uses ADF and PP single root test, vector autoregression model, causality test, prediction error variance decomposition, etc. are used for empirical analysis to explore the correlation between variables. The empirical results show that all five variables are affected by the self-variable. Indices such as DeFi Index, Gold Spot Index, NFT Index, and Volatility Index were significantly affected by the previous BTC Index, and indexes such as DeFi Index, BTC Index, Gold Spot Index, and NFT Index in the previous period significantly affected the Volatility Index. From the Granger pairing causality test, it is found that NFT Index presents a one-way causality to DeFi Index; DeFi Index presents a two-way causality to BTC Index. Then, through the variance decomposition of prediction error, we can understand the degree of influence and explanatory power of variables by themselves and other variables. The empirical results show that five variables are most affected by themselves, and Gold Spot Index and NFT Index are all affected by DeFi Index after the first period; DeFi Index, NFT Index and Volatility Index were both affected by BTC Index after the first period. Finally, through regression analysis, it was found that Volatility Index and Gold Spot Index had a significant negative impact on the Bitcoin index; DeFi Index and NFT Index had a significant positive impact on the Bitcoin index. The Volatility Index has the largest impact on the Bitcoin index.