The relationship between Bitcoin price and Taiwan Bitcoin concept stock price

• Main Authors: Ching-Jui Pai, 白經睿
• Other Authors: Yi-Chen Lin
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/8b5jxx

碩士 === 淡江大學 === 經濟學系經濟與財務碩士班 === 107 === This study discusses the relationship between Bitcoin price and Taiwan''s Bitcoin stocks price. The analysis period was from January 1, 2011 to June 30, 2018. First, we assess the order of integration through unit root tests. The structural change of Bitcoin price is found by ZA test to be at November 30, 2013. Next, we use the ARDL model to estimate the cointegration relationship between Bitcoin price and the price of Bitcoin stocks. Finally, for those stocks whose price is cointegrated with Bitcoin price, we further analyze the interaction between stock price and Bitcoin price using Granger causality. We find that Bitcoin price is cointegrated with the stock price of companies that produce display card, power supply, and application-specific integrated circuit (ASIC). During the whole period, Bitcoin price is cointegrated with the share price of GIGABYTE, MSI, LEADTEK and ALBATRON. After the structural break, the share price of LEADTEK, GIGABYTE, GLOBAL UNICHIP, THERMALTAKE, ALBATRON and TUL are cointegrated with Bitcoin price. Bitcoin price Granger causes the prices of the last five companies. The empirical results show that Bitcoin price drives the stock price of companies manufacturing electronic components used in Bitcoin mining. Moreover, after the structural break in Bitcoin price, the cointegration relationship became stronger and more prevalent.