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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/158511


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/158511


    題名: 特質性波動率於加密貨幣市場中之風險探討
    Idiosyncratic Volatility Risk in the Cryptocurrency Market
    作者: 童思謙
    Tung, Szu-Chien
    貢獻者: 岳夢蘭
    Yueh, Meng-Lan
    童思謙
    Tung, Szu-Chien
    關鍵詞: 加密貨幣
    異質性波動
    樂透型偏好
    Cryptocurrency
    Idiosyncratic Volatility
    Lottery-like Preference
    日期: 2025
    上傳時間: 2025-08-04 14:08:24 (UTC+8)
    摘要: 受到 Ang et al. (2006)的啟發，本文旨在探討異質性波動(Idiosyncratic Volatility, IVOL)於加密貨幣市場中對橫斷面報酬的影響。本文採用單變量投資組合分析、雙變量投資組合分析以及Fama-MacBeth橫斷面迴歸等多元實證方法進行檢驗。實證結果發現，IVOL較高的加密貨幣具有顯著偏低的未來報酬，IVOL在加密貨幣市場展現出的定價效應與Ang et al. (2006)在美國股市中的發現相同。

    此外，本文進一步研究MAX(一個月內前五大單日報酬的平均值)，發現MAX變數同樣會對加密貨幣報酬造成負向影響，且MAX與IVOL高度相關。將MAX納入橫斷面迴歸後，IVOL與未來報酬的負向關係不再顯著，此結果在控制同樣為極端報酬的 MIN(一個月內最小單日報酬)後依然穩健。最終，當以 IVOL 對MAX迴歸的殘差項作為分析變數時，亦無統計顯著影響。

    本文研究結果指出，IVOL的定價效應係由MAX所驅動，異質性波動在加密貨幣市場的定價效應可由Bali et al. (2011)提出的樂透型偏好理論所解釋。
    Motivated by Ang et al. (2006), this study aims to investigate the impact of idiosyncratic volatility (IVOL) on the cross-sectional returns in the cryptocurrency market. Using a combination of univariate portfolio analysis, bivariate portfolio analysis, and Fama-MacBeth cross-sectional regressions, we find that cryptocurrencies with higher IVOL tend to have significantly lower future returns, the pricing effect of IVOL in the cryptocurrency market is consistent with Ang et al. (2006) findings in the U.S. stock market.

    Furthermore, this paper explores the role of MAX (the maximum daily return) and finds that MAX also has a negative impact on cryptocurrency returns and is highly correlated with IVOL. After including MAX in the cross-sectional regressions, the previously observed negative relationship between IVOL and future returns disappears, and this result remains robust even when controlling for MIN (the minimum daily return), which is another measure of extreme returns. Finally, when using the residuals from the regression of IVOL on MAX as an explanatory variable, we also find no statistically significant effect.

    These results suggest that the pricing effect of IVOL in the cryptocurrency market is driven by MAX, and the apparent anomaly in IVOL can be explained by the lottery like preference theory proposed by Bali et al. (2011).
    參考文獻: Ahmed, M. S., El-Masry, A. A., Al-Maghyereh, A. I., & Kumar, S. (2024). Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda. Research in International Business and Finance, 102472.
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    描述: 碩士
    國立政治大學
    財務管理學系
    112357038
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0112357038
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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