| Summary: | 碩士 === 中原大學 === 財務金融研究所 === 107 === In the past few years, many experts and scholars have publicly stated that cryptocurrency is a bubble, and it has no value. This study hopes to predict the price of cryptocurrency. Since cryptocurrency doesn''t have reliable fundamental information, this study uses technical analysis indicators to predict. This study also attempts to set our own bubble standard and hopes to determine whether the cryptocurrency is a bubble. In addition, this study explores whether cryptocurrency can be used as a tool to reduce portfolio risk, thereby finding other existential values for cryptocurrency. The results of this research are as follows:
1.Although technical analysis has poor predictive ability for cryptocurrency daily returns, it has significant predictive ability for weekly returns.
2.This study defines our own bubble standard based on the core concept of the financial bubble, and uses this standard to determine that the cryptocurrency does have a bubble in the past.
3.The cryptocurrency has very low correlation with the three major US indexes, gold and Brent crude oil, and can be used as a tool to reduce the risk of portfolios and form a portfolio.
Finally, this study believes that although the cryptocurrency does have a bubble during the fourth quarter of 2017 to the first quarter of 2018, the bubble should be a process rather than an end. The bubble may be a process of survival of the fittest, and should not completely deny the value of a thing because of the current bubble.
Keywords: Bitcoin, cryptocurrency, bubble, technical analysis, reduce portfolio risk.
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