比特幣匯率與網路情緒指數關聯之研究-以VAR研究方法為例

比特幣匯率即使受到眾多消息面變數的干擾，仍獨立於任何金融體系資產，可人為炒作也與政策因素有關，匯率變化的隨機性不但波動大且難以去預測，加上比特幣相關研究文獻，沒有針對網路情緒指標與比特幣匯率之間作長期與短期的關聯性分析，本研究目的在架構包含Google搜尋量指數（SVI）、恐慌指數(VIX)、S&P500指數對比特幣匯率建立向量自我迴歸模型預測模式，實證分析結果比特幣匯率與谷歌搜尋量指數無論在短期或長期共整合均衡皆有Granger因果檢定之回饋關係，投資人恐慌指數在長期共整合中對比特幣匯率有領先關係。

關鍵字

比特幣匯率；谷歌搜尋量指數；向量自我迴歸模型；共整合

並列摘要

Bitcoin Exchange Rate is independent of any financial system assets even if it is interfered by many news variables. Bitcoin Exchange Rate is also related to human speculation and policy factors. The randomness of Bitcoin Exchange Rate changes, not only fluctuating, but also difficult to predict. There is no long-term and short-term correlation analysis between online sentiment indicators and bitcoin exchange rates. The purpose of this study is to include the Google SVI Index , the Investor Fear Gauge (VIX), and the S&P 500 Index to establish a VAR model for the Bitcoin Exchange Rate. Empirical analysis results Bitcoin Exchange Rate and Google Search Volume Index have a Granger causality feedback relationship in both short-term and long-term cointegration equilibrium. The VIX Investor Fear Gauge has a leading relationship to the Bitcoin Exchange Rate in long-term cointegration.