新冠肺炎下比特幣避險功能之研究;Analysis on the hedges function of Bitcoin under COVID-19

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题名:	新冠肺炎下比特幣避險功能之研究;Analysis on the hedges function of Bitcoin under COVID-19
作者:	涂婉綺;Tu, Wan-Ci
贡献者:	產業經濟研究所
关键词:	比特幣;加密貨幣;新冠肺炎;避險;標普500指數;黃金;Bitcoin;cryptocurrency;COVID-19;hedge;S&P 500 Index;gold
日期:	2022-07-09
上传时间:	2022-10-04 11:47:04 (UTC+8)
出版者:	國立中央大學
摘要:	新冠肺炎(COVID-19)爆發使病毒迅速蔓延至全球，政府實施封鎖政策改變了人類的生活習慣而各國經濟也遭受衝擊，當2020年3月WHO宣布「COVID-19已造成全球大流行」負面消息造成比特幣單日暴跌37.17%，隨疫苗研發成功與政府量化寬鬆政策迎來比特幣反彈上漲的局勢。究竟比特幣是多元化投資標的之一或是股市崩盤時的避風港，比特幣取代傳統避險工具的說法引起國內外學者廣泛的討論。研究使用一般最小平方法(feasible generalized least squares, FGLS)分析比特幣、黃金與標準普爾500指數(Standard & Poor′s 500, S&P 500 Index)受疫情嚴峻程度之影響，期間由短至長區分為COVID-19期間、比特幣誕生後期間及全樣本期間。先分析比特幣於COVID-19及誕生後期間的走勢，並且與黃金和S&P 500指數的走勢作比較，最後擴大分析二十一年間黃金與S&P 500指數的走勢，依兩項傳統金融資產面臨全球金融海嘯的走勢反推比特幣將如何變動。實證發現長期而言，比特幣近似於傳統避險資產的黃金，當金融海嘯爆發時黃金價格下跌16.19%，而疫情發生時黃金價格上漲3.81%。回顧2008年全球金融風暴也是比特幣誕生之年，去中心化的技術無需仰賴第三方機構能降低系統性風險帶來的衝擊，可預期當投資人對傳統金融市場或法定貨幣喪失信心時，比特幣價格將迎來歷史新高點，可作為多元化的投資工具。;The outbreak of the COVID-19 pandemic has spread rapidly around the world, and governments imposed restrictions has changed human life and influenced global economy. In March 2020, when WHO announced that COVID-19 has caused a global pandemic, Bitcoin plunged 37.17% in a single day. With the success of the COVID-19 vaccine development and the economic relief package provided by the government, Bitcoin price again reached an all-time high. Whether bitcoin is a diversification investment, a safe haven in a stock market crash, or a replacement for traditional safe-haven assets. In this paper, we employ feasible generalized least squares (FGLS) method to analyze the impact of the pandemic on Bitcoin, gold and Standard & Poor′s 500 (S&P 500 Index). The period from short to long is divided into the COVID-19 period, the Bitcoin period and the full sample period. First, analyze the price of Bitcoin during the COVID-19 and the Bitcoin period, and compare with the price of gold and the S&P 500 index. Finally, according to the behavior of gold and the S&P 500 index during global financial crisis, analyze how Bitcoin price will change. We find that the behavior of Bitcoin is similar to gold over a long-term period. When the financial crisis broke out, the price of gold fell by 16.19%. The price of gold rose by 3.81% when the epidemic occurred. Recalling that the 2008 global financial crisis while Bitcoin was proposed, a decentralized blockchain network would be sent directly without going through a financial institution, which can reduce the impact of systemic risks. We expected that when investors lose confidence in the traditional financial market or the fiat money, the price of Bitcoin will reach a new all-time high, which can be demand as a diversified investment tool.
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