外溢效果和槓桿效果分析— 以加密貨幣與貨幣指數為實證分析

The Spillover and Leverage Effects Analysis— An Empirical Study of Cryptocurrency and Currency Index

賴志龍(Chih-Lung Lai)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700717

摘要

本研究在探討比特幣(Bitcoin)、以太幣(Ethereum)、萊特幣(Litecoin)、門羅幣(Moneror)及達世幣(Dash)等5種加密貨幣與美元指數(DXY)、歐元指數(XEU)、日圓指數(XJY)、全球離岸人民幣指數(RXY)及黃金(GOLD)價格等實體貨幣指數之相互關係，蒐集2012年1月1日或加密貨幣創立日至2016年12月31日之每日價格資料。利用GARCH-M-ARMA模型和EGARCH-M-ARMA模型分析加密貨幣與實體貨幣指數間報酬外溢效果、報酬波動性外溢效果、風險與報酬率之間的關連性及槓桿效果。
加密貨幣及貨幣指數皆具有波動叢聚性的現象，且加密貨幣報酬率波動較實體貨幣指數報酬率波動大。在EGARCH-M-ARMA模型下，發現比特幣、歐元及黃金等三種貨幣指數之價格變動產生報酬與波動不對稱之狀況，具有槓桿效果。
在報酬率之外溢效果分析，發現美元、歐元及日圓指數對比特幣出現外溢效果，另美元、歐元、日圓及人民幣指數對萊特幣亦有外溢效果，可作為投資比特幣及萊特幣之觀察指標。報酬波動性之外溢效果分析，在GARCH-M-ARMA模型下，貨幣指數前期報酬波動性對當期加密貨幣報酬波動性之25組樣本組合中，全部出現顯著的外溢效果，顯示貨幣指數之價格變化是影響加密貨幣價格漲跌的重要因素。另發現比特幣與美元指數之樣本組合(BTC/DXY及DXY/BTC)，不論在GARCH-M-ARMA模型或EGARCH-M-ARMA模型下，皆出現顯著負的雙向外溢效果。
研究發現DXY、XEU、XJY、RXY及GOLD等五種貨幣指數與比特幣(BTC)及達世幣(Dash)等兩種加密貨幣的風險與報酬率之間，具有正向的顯著關連性。而DXY、XEU、XJY及RXY等四種貨幣指數則和萊特幣(LTC)出現負向的顯著關連性。

關鍵字

加密貨幣 ； 外溢效果 ； 槓桿效果 ； GARCH-M-ARMA模型 ； EGARCH-M-ARMA模型

並列摘要

The Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity–in-Mean-Autoregressive Moving Average (EGARCH-M- ARMA) models are employed to examine the existence of the spillover effect of return and return volatility and leverage effect between cryptocurrency and fiat currency. This study collects five cryptocurrencies (such as Bitcoin, Ethereum, Litecoin, Moneror, Dash) and fiat currencies (such as the Dollar Index, the Euro Index, the Yen Index, RMB Index and the Gold Price) of daily price from January 1, 2012 or the date of creation cryptocurrency to December 31, 2016.
Both the cryptocurrency and the fiat currency have fluctuated on clustering phenomenon, and the fluctuation of the cryptocurrency returns fluctuates greatly comparing to the fiat currency returns. In the EGARCH-M-ARMA model, it was found that the price changes of the three currencies, such as Bitcoin, Euro Index and Gold, produced return and volatility asymmetry, and also had the leverage effect.
In the analysis of the spillover effect of the return, it was found that the Dollar Index, Euro Index and Yen Index had a spillover effect on the Bitcoin. Meanwhile, these three indexes and RMB index also had a spillover effect on the Litecoin. In the GARCH-M-ARMA model, there is a significantly spillover effect in the 25 specifications of sample combinations. The previous return volatilities of fiat currencies have impacts on the current returen volatilities of cryptocurrencies. The interesting results revealed that price changes of fiat currencies are greatly affecting cryptocurrencies changes. In addition, it was found that the combination of Bitcoin and Dollar index (BTC / DXY and DXY / BTC) showed significantly two-way negative spillover effect for both GARCH-M-ARMA and EGARCH-M-ARMA model.
The empirical results found that there were a significant positive relationship between the risk and return for the fiat currencies (DXY、XEU、XJY、RXY and GOLD) and cryptocurrencies (Bitcoin and DASH). Conversely, there were a significant negative relationship between the risk and return of the fiat currencies (DXY、XEU、XJY and RXY) and Litecoin.

並列關鍵字

Cryptocrrency ； Spillover Effect ； Leverage Effect ； GARCH-M-ARMA ； EGARCH-M- ARMA

參考文獻

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