Study of the relationships between bitcoin and financial assets

• Main Authors: Hsu, Yun-Chen, 許允禎
• Other Authors: 林柏生
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/29w4gr

碩士 === 國立政治大學 === 國際經營與貿易學系 === 106 === Bitcoin price is soaring recent years and more and more people start to wonder what is bitcoin. Some researches discuss about the nature of bitcoin whether it is a real currency or speculative assets. Most of empirical researches suggest that bitcoin is a speculative asset rather than a real currency. Under the premise, this research is trying to use “portfolio balance approach” to explain the relationships between bitcoin and financial assets. We chose USD/BTC as dependent variable and US dollar index, S&P 500 Index, Dow Jones Index, gold price, United States 10-year bond yield and United States 5-year bond yield as independent variables. Then, we use vector autoregression model, granger causality test and impulse response analysis to find out the results. The results of this research shows that only United States 10-year bond yield and United States 5-year bond yield could forecast the volatility of bitcoin price. Therefore, the results don’t meet the theory of portfolio balance approach. We speculate that because we use the price and index of the financial assets as proxy to replace the holding amount, by some restricts of the data .On the other hand, the volatility of bitcoin price is also probably influenced by internal factor which is driven by buyers and sellers rather than fundamental economic factors.