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| Title: | 比特幣鏈上行為與市場價格關聯性之探討
An Investigation of the Relationship Between Bitcoin On-Chain Activity and Market Price |
| Authors: | 文詳惠
Wen, Xiang-Hui |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
文詳惠
Wen, Xiang-Hui |
| Keywords: | 比特幣
區塊鏈上資料
Bitcoin
On-chain Data |
| Date: | 2025 |
| Issue Date: | 2025-09-01 16:36:21 (UTC+8) |
| Abstract: | 相較傳統金融市場資訊封閉的特性，區塊鏈具備高度透明與可追溯性，使研究者得以直接觀察特定地址的資金進出與使用模式。本文聚焦於「重複使用地址」的鏈上行為，透過 Google BigQuery 提供之比特幣區塊鏈資料，建構 2018–2024 年間地址活動的量化指標，進一步探討其與市場變數之關聯性。研究首先依據交易次數與最大資產規模篩選出具代表性的重複使用地址，並針對其資產分布、交易頻率、餘額歸零次數與首次歸零前活躍天數等特徵進行敘述統計分析。結果顯示，大多數地址具短期使用傾向，呈現高度右偏的長尾分布結構，僅少數地址呈現長期反覆使用行為，顯示鏈上投資行為的明顯異質性。本研究進一步分析比特幣價格報酬、美股報酬、政策不確定性指數（UNC）、市場波動率（VIX）與 Google Trends 熱度等市場指標，這些變數對新生地址與結束地址數量之解釋力。實證結果顯示，比特幣報酬為最主要且穩定的影響變數，對於地址數的變動幅度皆具顯著正向影響，而市場波動率的上升對鏈上轉出行為也有顯著正向影響。
Compared to the relatively opaque nature of traditional financial markets, blockchain offers high transparency and traceability, allowing researchers to directly observe fund movements and usage patterns of specific addresses. This study focuses on the on-chain behavior of "reused addresses" and utilizes Bitcoin blockchain data provided by Google BigQuery to construct quantitative indicators of address activity from 2018 to 2024. Representative reused addresses are identified based on transaction frequency and maximum asset value, with descriptive statistical analyses conducted on their asset distribution, transaction frequency, number of times the balance returns to zero, and the number of active days before the first zero balance. Results reveal that most addresses exhibit short-term usage patterns and follow a highly right-skewed, long-tailed distribution, while only a minority demonstrate repeated long-term usage, indicating significant heterogeneity in on-chain investment behavior. This study further examines the explanatory power of various market indicators—including Bitcoin returns, U.S. stock returns, the Economic Policy Uncertainty Index (UNC), market volatility (VIX), and Google Trends popularity—on the number of newly created and terminated addresses. Empirical results show that Bitcoin returns are the most significant and stable driving factor, with a strong positive effect on address activity. In addition, rising market volatility is also found to significantly influence address termination behavior on theblockchain. |
| Reference: | Aalborg, H. A., Molnár, P., & de Vries, J. E. (2019). What can explain the price, volatility and trading volume of Bitcoin? Finance Research Letters, 29, 255–265.
Antulov-Fantulin, N., Tolic, D., Piskorec, M., Zhang, C., & Vodenska, I. (2018). Inferring short-term volatility indicators from Bitcoin blockchain [Preprint]. arXiv. https://doi.org/10.48550/arXiv.1809.07856
Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions & Money, 54, 177 189.
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Zhang, Y., Wang, Y., & Liu, J. (2025). Bitcoin price direction prediction using on-chain data and feature selection. Digital Finance, 6(1), 45–62. |
| Description: | 碩士
國立政治大學
財務管理學系
112357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357005 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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