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

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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 , Masters　　Advisor：陳若暉　　

繁體中文

加密貨幣；外溢效果；槓桿效果； GARCH-M-ARMA模型； EGARCH-M-ARMA模型； Cryptocrrency ； Spillover Effect ； Leverage Effect ； GARCH-M-ARMA ； EGARCH-M- ARMA

Abstract │ Reference (56) │ Altmetrics

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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.

Reference ( 56 ) 〈TOP〉

1.王冠閔與吳書慧，(2006)，「台灣股、匯市與美國股市傳導機制之實證分析」，運籌研究集刊，第十期，頁10-15。
連結：
3.呂安惇，(2009)，「全球指數股票型基金之季節性外溢效果與槓桿效果分析」，中原大學企業管理研究所未出版碩士論文。
連結：
5.張鼎煥、張晏誠(2011)，「金融資產對黃金期貨報酬與風險傳遞效果之研究」，朝陽商管評論，第十卷第二期，頁95-111。
連結：
6.黃靜怡，(2014)，「外溢效果和槓桿效果分析-以稀土礦產型ETF為實證」，中原大學企業管理研究所未出版碩士論文。
連結：
10.廖偉真、雷立芬(2010)，「不同樣本頻率之股市波動性估計—GARCH、TGARCH與E GARCH之比較」，臺灣銀行季刊，第六十一卷第四期，頁294-307。
連結：

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