比特幣與公司債之關聯性分析

An Analysis of Correlation between Bitcoin and Corporate Bond

張采翎(Tsai-Ling Chang)

指導教授 ： 牟萬馨

中原大學/商學院/財務金融研究所/碩士(2020年)

https://doi.org/10.6840/cycu202000437

摘要

資產之間的關聯性是金融市場中重要的議題。本研究分析2015年至2020年比特幣與七個不同級別之公司債之間的關聯性，透過比特幣與公司債各別的市場波動性與新聞效果分別探討其對資產間關聯性的影響。利用Granger因果關係確定波動性與新聞效果分別與關聯性之間的領先—落後關係，接著使用線性迴歸檢驗在不同的市場情況下，比特幣和公司債之波動性與新聞效果對其之間關聯性的不對稱性影響。實證結果顯示跨資產之間的關聯性容易受到新聞效果的影響，波動性對關聯性的影響程度反而較不明顯。本研究發現，當公司債市場為低度波動時，僅CCC級（含以下）之公司債的波動性會使其與比特幣的關聯性上升；當比特幣市場低迷時，其波動性僅會提高與CCC級（含以下）之公司債的關聯性。在新聞效果方面，本研究顯示：一、從市場正向與負向的消息顯示，在所有估計的投資期間下，僅比特幣之新聞效果對其與CCC級（含以下）之公司債的關聯性持續存在不對稱效果，並且，隨著投資期間愈長，多頭及空頭比特幣市場對該關聯性之負面影響愈弱；二、當所有級別之公司債市場為空頭時，公司債的新聞效果對其與比特幣的關聯性產生負面的影響，另外，看空比特幣市場時，比特幣的新聞效果會使其與公司債的關聯性下降，然而，當公司債市場或比特幣市場為多頭時，對關聯性之效果多為不顯著。結果表明，市場之新聞效果對資產間之關聯性不僅存在因果關係，負向新聞亦影響跨資產之關聯性。

關鍵字

比特幣 ； 公司債 ； 關聯性 ； 波動性 ； 新聞效果 ； Granger因果關係 ； 不對稱效果

並列摘要

Assets correlation is an important issue in the financial market field. This paper analyzes the correlation between bitcoin and seven different credit ratings of corporate bonds from 2015 to 2020, and investigates the impacts of bitcoin and corporate bond market conditions on asset correlation through market volatility and news effect. We conduct Granger causality test to determine the lead-lag relationship between volatility and correlation and between news effect and correlation, respectively. This study then employs a linear regression to examine asymmetric effects of volatility and news effect on correlation between bitcoin and corporate bonds. The empirical result shows that the cross asset correlation is affected by news effect, but the impact of volatility on correlation is insignificant in most cases. We find that when the corporate bond market is in downturn, only the volatility of bonds with a rating of CCC increases its correlation with bitcoin; when bitcoin market is in downturn, its volatility increases the correlation with bonds with a rating of CCC. In terms of news effect, this paper shows that, under all estimated investment horizons, only the news effect of bitcoin has an asymmetric effect on its correlation with CCC rated bonds. Moreover, the longer the investment period is, the weaker the negative impact of bitcoin markets on the correlation, when the bitcoin market performs good and bad. Secondly, when bonds with all credit ratings experience bad news shocks, bonds generate a negative impact on its correlation with bitcoin. In addition, when bitcoin performs weak, the bear bitcoin market decreases the correlation with corporate bonds. However, the bull corporate bond markets or bitcoin markets exhibit insignificant effects on the cross-asset correlation. The results shows that not only a causal relationship exists between market news effect and cross-asset correlation, but also negative news shock affects the cross-asset correlation.

並列關鍵字

bitcoin ； corporate bond ； correlation ； volatility ； news effect ； Granger causality ； asymmetric effect

參考文獻

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