比特幣跨境價差交易

The arbitrage of Bitcoin

胡容華(Rung-Hua Hu)

指導教授 ： 胡為善

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700571

摘要

比特幣為一種基於網路、點對點的匿名電子貨幣。根據紐約時報的報導，2016年上半年，有42%的比特幣交易在中國進行，因而使得中國大陸成為比特幣交易量最大的國家，其主要原因如下：中國大陸民眾為了規避外匯管制，因而常把人民幣先兌換成比特幣，再以比特幣換取美元。尤其在2016年美國大選後，由於美元強力升值，使得人民幣大幅貶值，中國大陸民眾因而交易更多的比特幣，以保障其帳戶價值。但中國大陸為了防止其資金大量外流，因而使其金融風險大幅升高，遂於2017年1月及3月兩次要求中國大陸負責管理比特幣交易之平台主管，加強遵守外匯管理之相關法規，並要求收取比特幣的交易手續費從0提高至成交金額的0.2%。
本研究以全球前四大比特幣交易所為標的，進行探討在跨國之交易所交易比特幣，能否套利？此四大交易所分佈於中國大陸與美國兩地，其中在中國境內的比特幣交易所為Okcoin及Bitfinex；而在美國境內的比特幣交易所則為Kraken及Coinbase。本研究將研究期間分為四段，且運用時間序列模型，進行虛擬貨幣間之關聯性研究，探討當中國大陸政府在加強監管比特幣交易所及徵收其手續費後，是否造成美國與中國交易所價格相當大的差異，因而造成巨幅價差。本研究並探討交易所間之價差是否會因手續費之徵收，導致跨國境的市場間套利之平均利潤差距擴大。此外，亦探討中國大陸境內的交易所是否因監管政策之實施，造成完全無法套利。本研究經由實證結果，得到結論如下：
1. 本研究發現，在四段研究期間內，六種配對皆具有共整合關係，表示交易所間的價格的確會相互影響。
2. 本研究發現收取手續費較高的比特幣交易所，其套利的價差空間也較大，而其賺取價差的平均利潤也會越高。然而在中國境內的兩家交易所因為受到中國大陸政府實施嚴格監管政策之影響，完全無法賺取價差。
3. 本研究發現在中國大陸加強監管比特幣交易所及收取手續費後，促使其交易成本提高，使得套利的整體平均利潤，竟然巨幅增加至4倍以上。

關鍵字

比特幣 ； 兩階段共整合檢定 ； 單根檢定 ； 統計交易

並列摘要

Bitcoin is an online, peer-to-peer anonymous electronic currency. According to the report from New York Times, there are 42% Bitcoin’s transaction volume has been performed in China during the first half of 2016, making China become the largest trading volume country for Bitcoin then. The main reason is that the Chinese bought Bitcoin in order to preventing Chinese government from foreign exchange control. They exchanged RMB into the Bitcoin, then exchanged the Bitcoin into the US dollars.
After the US President election in 2016, the US dollar was strongly rebounded, thus causing the dramatic devaluation of the RMB, then making the Chinese bought more Bitcoins than before to further protect their account’s value. In order to prevent from the outflow of funds and causing other financial risks, the Chinese government asked the officers who are in charge of the Bitcoin trading platform to comply with foreign exchange regulations and asked them to raise the Bitcoin’s handling fee from 0% up to 0.2%.
This study examines the top four Bitcoin currency exchanges in the world to find whether investors can earn the spreads of the Bitcoin from the cross-border exchanges. The targeted Bitcoin exchanges are Okcoin and Bitfinex in China, and Kraken and Coinbase in the US. The study period is divided into four sub-periods. This investigation uses the time series model to examine the relationship between various virtual currencies. This study also examines whether the price inconsistency exists between United States and China after the Chinese government strongly supervised the Bitcoin exchanges and charged the transaction fees. We also examined whether the investors can earn more spreads in cross-border exchanges than before and whether they can not earn spreads between the two Bitcoin exchanges in China after the strong supervision executed by Chinese government. The conclusions are summarized below.
1. This study found that, during the four sub-periods, there were six pairs having cointegration relationships, indicating that the Bitcoin prices among the four exchanges affected each other during that time period.
2. Empirical results showed that the higher the transaction fee, the higher the arbitrage spread exists in cross-border exchanges, and the average profit margin increased dramatically between these exchanges. However, the exchanges in China can not earn spreads after government’s strong supervision.
3. This study also finds that, after Chinese government’s supervision on Bitcoin exchanges, the transaction costs greatly increased, and the average arbitraged profit in the cross-border transactions increased by more than four times.

並列關鍵字

ADF test ； Bitcoin ； Co-integration test ； Statistical transaction

參考文獻

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