Comparison of Three Virtual Currencies with Stock Markets

• Main Authors: Chiu-Hsin Chuang, 莊秋欣
• Other Authors: Wei-Shan Hu
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/18780658980558819768

碩士 === 中原大學 === 企業管理研究所 === 105 === For the past decade, fincancial technology has been very popular in the world, their six models have been applied in various industries. Even in Taiwan, Family Mart cooperated with BitoEX since 2015. Taiwanese now can buy Bitcoin on "Famiport" or convert it to a coupon which can be used at that convenience store. Additionally, Japan''s Finance Ministry and the Financial Services Agency treat Bitcoin as the same position with currency. The Japanese can use Bitcoin to pay utility expenses. Japan plans to cancel the consumption taxes on Bitcoin by the end of 2017 in order to accelerate the usage of Bitcoin. This study examines the relationship between three virtual currencies with the six stock indexes. The targets are as follows: (1) Three virtual currencies: Bitcoin, Litecoin and Dogecoin; (2) Six Stock Indexes: S&P500 index, London’s Financial Times Ordinary Shares Index, Japan’s Nikkei 225 Index, Shanghai’s SSE Composite Index, Hong Kong’s Hang Seng Index, and Taiwan’s TAIEX. This investigation further divides the entire sample period into three sub-periods, and uses the time series model to measure the correlation between the virtual currencies and the stock indexes. Empirical results are summarized below: 1.This study finds that the long-term equilibrium relationship does not exist for the first sub-period and the second sub-period for these virtual currencies with S&P500 index, Financial Times Ordinary Shares Index, Nikkei 225, SSE Composite Index, and TAIEX. However, this investigation finds that three virtual currencies and six stock indexes have co-integration during the entire sample period and the third sub-period. Additionally, this work finds that these three virtual currencies have co-integration with Hang Seng Index during the second sub-period. 2.This study then uses the Granger causality test to find that, during the entire sample period, the first sub-priod and the second sub-period, Bitcoin affects the Litecoin except for the S&P500 index. S&P500 index also affects Bitcoin during the third sub-period, one possible explanation is that the third sub-period may be is affected by US general election.