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| 題名: | 非系統風險與加密貨幣市場橫斷面報酬關係
Idiosyncratic risk and the cross-section of expected cryptocurrency returns |
| 作者: | 林秉陞
Lin, Ping-Sheng |
| 貢獻者: | 岳夢蘭
Yueh, Meng-Lan
林秉陞
Lin, Ping-Sheng |
| 關鍵詞: | 加密貨幣
波動度
VIX 指數
非系統風險
Cryptocurrency
Volatility
VIX index
Idiosyncratic volatility |
| 日期: | 2023 |
| 上傳時間: | 2023-08-02 12:59:22 (UTC+8) |
| 摘要: | 本文闡述了波動度類別、非系統風險類別、股票市場波動度、比特幣恐懼貪婪指數和加密貨幣波動指數，與加密貨幣橫斷面報酬的關係。在單變量投資組合分析下發現，波動度類別和非系統風險類別皆有統計顯著性。在股票市場波動度VIX和比特幣恐懼貪婪指數，其多空策略的結果皆不顯著，代表股票市場波動度高低，並不影響加密貨幣的報酬率。而加密貨幣波動指數在多空策略中僅有單因子模型所估計的多空策略中有些微顯著的負向，代表當加密貨幣市場波動變大時，投資人會將資金投入加密貨幣波動指數Beta係數更高的加密貨幣進行避險，造成價格變高，報酬率變低的情形。
本文也針對在單變量投資組合分析中有顯著的6個特徵，進行單因子、雙因子和三因子模型的研究，以了解該特徵是否能被因子模型所解釋。結果發現，單因子跟雙因子模型就能解釋非系統風險特徵，波動度類別中僅有報酬率的波動度在包含動量因子的雙因子模型中能夠被解釋，其餘的兩個特徵則是用三因子模型也無法完全解釋其報酬率。
This article discusses volatility, non-systematic risk, volatility, Bitcoin fear and greed index, and cryptocurrency volatility index, and their relationship with cross-sectional returns of cryptocurrencies. In the analysis of univariate portfolio, both volatility categories and non-systematic risk categories were found to be statistically significant. Regarding stock market volatility (VIX) and Bitcoin fear and greed index, the results of long-short strategies were not significant, indicating that the volatility of the stock market does not affect the returns of cryptocurrencies. However, the cryptocurrency volatility index showed a slightly significant negative relationship in the long-short strategy estimated by the single-factor model, suggesting that when the cryptocurrency market becomes more volatile, investors tend to invest in cryptocurrencies with higher beta coefficients in the cryptocurrency volatility index as a hedge, causing higher prices and lower returns.
This article also examines six significant features identified in the univariate portfolio analysis using single-factor, two-factor, and three-factor models to determine if these features can be explained by factor models. The results show that the non-systematic risk feature can be explained by both single-factor and two-factor models. Among the volatility categories, only the volatility of returns can be explained by the two-factor model that includes the momentum factor, while the other two features cannot be fully explained even by the three-factor model in terms of their returns. |
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| 描述: | 碩士
國立政治大學
財務管理學系
110357023 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0110357023 |
| 資料類型: | thesis |
| 顯示於類別: | [財務管理學系] 學位論文
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