| 摘要: | 本研究針對比特幣、萊特幣、美國道瓊工業指數、台灣發行量加權股價指數、那斯達克綜合指數、台灣電子類指數、道瓊美國金融類股指數、台灣金融保險類指數，運用單根檢定、共整合分析、誤差修正模型結果分析、因果關係檢定、衝擊反應分析、預測誤差變異數分解等研究方法，並以比特幣加入期貨交易前後一年當作全樣本，研究期間為2016年至2018年，加入期貨交易前為第一段期間，加入期貨交易後為第二段期間，來探討比特幣、萊特幣與台股、美股之關聯性，實證結果顯示：1.在全樣本期間與第一段期間，各變數價格及指數皆存在共整合關係，表示有長期穩定的均衡關係。2.在第一段期間比特幣會影響那斯達克綜合指數，進而影響台灣電子類指數，在第二段期間萊特幣會影響那斯達克綜合指數，進而影響台灣電子類指數。3.除了第二段期間當萊特幣受到衝擊時初期對比特幣有較大的正向衝擊，當比特幣受到衝擊時初期對萊特幣有較大的正向衝擊，其餘在全樣本期間、第一段期間與第二段期間，各變數價格及指數對於自身皆產生最大的衝擊反應，以第一期影響最大。4.在第一段期間，影響萊特幣價格的主要為比特幣的變動，其次為道瓊美國金融類股指數的變動，在第二段期間，比特幣與萊特幣互相影響，且萊特幣的變動會影響美國道瓊工業指數、那斯達克綜合指數以及道瓊美國金融類股指數。
The study uses Augmented Dickey-Fuller test, co-integration test, vector error correction model, Granger causality test, impact response analysis, forecast error variance decomposition to investigate bitcoin, litecoin, Dow Jones industrial average index, the weighted price index of the Taiwan stock exchange, Nasdaq composite index, Taiwan electron index, Dow Jones U.S. financials index, Taiwan financial and insurance index. The study period is from 2016 to 2018. Further, the bitcoin is added futures market distinguishing the sample period into the first sub-period, and the second sub-period. We will explore the relationship among bitcoin, litecoin and Taiwan stock market, and U.S. stock market. The empirical results are as follows: 1.There is a co-integration relationship among the price and index, indicating that there is a long-term stable equilibrium relationship during the entire sample period, the first sub-period, and the second sub-period.2.During the first sub-period, bitcoin affects the Nasdaq composite index, and then affects Taiwan electron index. During the second sub-period, litecoin also affects the Nasdaq composite index, and then affects Taiwan electron index.3.Besides the second period, when the news of litecoin was delivered, it had a large positive impact on bitcoin in the initial period. When the news of bitcoin was delivered, it had a large positive impact on litecoin in the initial period. The rest were during the entire sample period, the first sub-period, and the second sub-period, the price and index have the greatest impact on themselves. The greatest impact is in the first sub-period.4.During the first sub-period, the price of the litecoin was mainly affected by the change of bitcoin, and then by the change of the Dow Jones U.S. financial index. During the second sub-period, bitcoin and litecoin interacted with each other, and litecoin affects the Dow Jones industrial average index, Nasdaq composite index ,and Dow Jones U.S. financial index. |
