The research of the relationship among Bitcoin, exchange rates, stock markets and economy

• Main Authors: Hung, Shih-Ting, 洪詩婷
• Other Authors: Cheng, Yu-Ting
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/5zv892

碩士 === 國立政治大學 === 企業管理研究所(MBA學位學程) === 106 === A financial crisis exploded around the world in 2008. At the same time, the Bitcoin was launched by Satoshi Nakamoto and solved the problem that people distrusted the government. However, price instability brings risks and uncertainty to investors. Virtual currencies have been transforming the existing monetary systems and payment methods. Consequently, we should place importance on the issue about how to treat virtual currencies. The purpose of this research isn’t only to analyze the development of the Bitcoin in Taiwan but investigate the relationships between Bitcoin and economic variables. We expect to help investors develop appropriate investment strategies. The research period is from 2013 to 2017. In our empirical analysis, we apply unit test, co-integration test and Granger causality test to examine the relationships. The result of unit test shows that all research variables are nonstationary and become stationary after first difference. Through co-integration test, we find that the Bitcoin price bears the long-run equilibrium relationship with the exchange rate of Japanese yen, Dow Jones Industrial Average and the Liv-ex 50 Fine Wine Index. Moreover, we build the VECM to evaluate the short-run dynamic relationships. Granger causality test is used to investigate whether the Bitcoin price bears the lead-lag relations to other variables. The result shows that the Bitcoin price has the causality between NK225 and S&P Global Luxury Index.