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| Title: | 影響數位貨幣價格變動因素與保險業投資可行性之探討：以比特幣為例
A Study of Factors Affecting Price Change of Digital Currency and Feasibility of Investment in Insurance Company: A Case Study of Bitcoin |
| Authors: | 連嬿倪
Lien, Yen-Ni |
| Contributors: | 彭金隆
Peng, Jin-Lung
連嬿倪
Lien, Yen-Ni |
| Keywords: | 數位貨幣
比特幣
風險值
保險業
投資可行性
Digital currency
Bitcoin
Value at risk
Insurance industry
Investment feasibility |
| Date: | 2018 |
| Issue Date: | 2018-08-27 14:36:36 (UTC+8) |
| Abstract: | 本研究欲探討數位貨幣其屬性，類似於貨幣或是商品。以及探討數位貨幣對於保險業而言是否具有投資可行性。
本研究透過迴歸模型分析比特幣會受到哪些因素影響，並透過風險值之歷史模擬法分析比特幣之風險程度。結果如下：
一、 比特幣價格和美元匯率不相關，亦不受到其影響。
二、 比特幣價格和黃金現貨價格、杜拜原油現貨價格、以及以太幣價格顯著相關。比特幣價格和黃金現貨價格、杜拜原油現貨價格呈現負相關；比特幣價格和以太幣價格則呈現正相關。
三、 比特幣價格會受到杜拜原油現貨價格、金銀比率、美國聯邦資金利率、以及恐慌指數影響。這些因素為影響黃金價格之因素，因此推測比特幣其性質類似於商品。
四、 比特幣之風險值波動大。月風險值、年風險值分別比日風險值增長五倍以及二十倍多。
另外，本研究針對數位貨幣與保險業投資可行性分財務層面以及法律層面探討，總結如下：
一、 在財務層面，以穩健保守的商品為主要投資標的之保險業，風險值波動大且價格也不穩定的比特幣對於保險業來說風險較大，可能較不適合投資。
二、 在法律層面，以避險為目的投資比特幣衍生性金融商品不具可行性，然以提升投資效益為目的投資比特幣衍生性金融商品具有可行性。
除了探討投資可行性，本研究亦探討比特幣外幣保單之可行性：相對於現在外幣保單，數位貨幣保單在支付上更便利，還可以省下中介費用，且不必擔心國家政治經濟風險。然目前數位貨幣在監管上不夠完善，因此恐有錢包被駭或是洗錢風險。
This study is intended to explore the attributes of the digital currency, similar to money or commodities. And to explore the feasibility of investment in insurance industry.
This study analyzes the factors affecting Bitcoin through regression models and analyzes the risk of Bitcoin through historical simulation of Value at Risk. The results are as follows:
1. Bitcoin prices are not related to, and are not affected by, the US dollar exchange rate.
2. Bitcoin prices are significantly correlated with spot price of gold, spot price of Dubai crude oil, and prices of Ethereum. Bitcoin prices were negatively correlated with spot price of gold and spot price of Dubai crude oil; Bitcoin prices were positively correlated with Ethereum prices.
3. Bitcoin prices will be affected by the spot price of Dubai crude oil, the spot price of gold against the spot price of silver, the US federal funds rate, and the panic index. These factors are factors that affect the price of gold, so it is speculated that Bitcoin is similar in nature to commodities.
4. Value at Risk of Bitcoin fluctuates greatly. The monthly Value at Risk and annual Value at Risk are five times and twenty times larger than the daily Value at Risk.
In addition, this study focuses on the financial and legal aspects of the feasibility of digital currency and insurance investment, summarized as follows:
1. At the financial level, the insurance industry with stable and conservative commodities as the main investment target, the Bitcoin with large fluctuations in Value at Risk and unstable prices is more risky for the insurance industry and may be less suitable for investment.
2. At the legal level, it is not feasible to invest in Bitcoin financial derivatives for the purpose of hedging, but it is feasible to invest in Bitcoin financial derivatives with the aim of improving investment returns.
In addition to exploring the feasibility of investment, this study also explores the feasibility of Bitcoin foreign currency policies: Compared to current foreign currency policies, digital currency policies are more convenient to pay, and can also save intermediary fees without worrying about national political and economic risks. However, the current digital currency is not well regulated, so there is a risk of wallet being hacked or money laundering. |
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Philippe Jorion, (2006). Value at Risk: The New Benchmark for Managing Financial Risk, New York, U.S.A: McGraw-Hill.
王凱風，(2013)。比特幣的原理、作用與監管策略淺探。金融與經濟，頁64-68。
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李映潔，(2007)。影響黃金價格因素其穩定性之研究。國立成功大學國際企業研究所碩士論文。
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陳星樺，(2017)。電子加密貨幣的發展—以比特幣為例。國立政治大學金融研究所碩士論文。
崔屹東、鄭曉彤，(2012)。對新型貨幣比特幣的經濟學分析。現代經濟信息，第16期，頁8。
黃沛珊、謝旻興、鍾嘉芳、沈宏儒、洪梓豪，(2012)，「壽險從業人員購買外幣保單消費行為研究—以大台中地區為例」，朝陽科技大學保險金融管理學系保險實務專題報告。
游清第，(2010)。運用VaR模型推估最大可能損失之研究—以台灣地區營建機具保險為例。銘傳大學風險管理與保險學系碩士在職專班碩士論文。
閔敏、柳永明，(2014)。互聯網貨幣的價值來源與貨幣職能—以比特幣為例。學術月刊，頁97-108。
劉銘騏，(2017)。運用機器學習方法分析比特幣交易行為與貨幣匯率之交互關係。國立交通大學資訊管理研究所碩士論文。 |
| Description: | 碩士
國立政治大學
風險管理與保險學系
105358004 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105358004 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.RMI.008.2018.F08 |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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