基于事件研究法的比特币价格波动分析

ANALYSIS OF BITCOIN PRICE FLUCTUATION BASED ON EVENT STUDY

卢杭杭

11749014

硕士

金融

何佳

2019-05-25

2019-07-05

哈尔滨工业大学

深圳

加密货币是基于区块链技术而产生的交易介质，其具有去中心化、匿名性、交易不可逆等特点，目前市面上有上千种加密货币在流通。比特币作为第一个使用区块链技术的加密货币，一直颇受关注，其价格受何种因素影响也是众说纷纭，中国作为曾经的比特币交易、挖矿大国，国内对比特币价格的不同影响因素的实证分析并不多。本文先从理论上论述了比特币目前并不具备货币属性，并分析了其价格会受投机、政策、政治、安全性、成本、经济发展水平等因素的影响。本文的实证部分选取了政策、政治、安全性三类因素各自的代表性事件，对这些事件对比特币的影响做了事件研究，结果发现政策监管对比特币价格的影响相对最大、在发生政治危机时，比特币作为避险资产价值凸显、安全性问题越来越不会对投资者信心造成打击、比特币价格一般都会有发生事件后的过度反应和再之后的修正这样一个阶段等结论。最后我们认为比特币的持有者除了投机性目的之外，主要是看重比特币的“逃避监管”作用，这说明比特币对于目前的中国来说会增加系统性风险、加大监管难度等，政府对于比特币等虚拟货币的审慎态度是正确的。

The cryptocurrency is a transaction medium based on blockchain technology. It has the characteristics of decentralization, anonymity, irreversibility, etc. Currently, there are thousands of cryptocurrencies in circulation. Bitcoin as the first cryptocurrency using blockchain technology, it has been receiving much attention, and its price is affected by many different factors. China as a former bitcoin trading power, there is not much empirical analysis of the different influencing factors of bitcoin prices.Firstly, this paper theoretically discusses that Bitcoin does not currently have monetary attributes, then this paper analyzes its price will be affected by factors such as speculation, policy, politics, security, mining cost, and economic development. Then, the empirical part of this paper selects the representative events of policy, politics, and security to make an event study on these events’ impact on bitcoin price. It turns out that policy supervision has the greatest impact on bitcoin price, and in the event of political crisis, the value of bitcoin as a safe-haven asset is highlighted, and security issues are less and less likely to hit investor confidence. Bitcoin prices generally have such a stage as over-reaction first and subsequent partial correction.This shows that in addition to speculative purposes, bitcoin holders mainly value bitcoin’s attribute of “evasion of supervision”, which indicates that bitcoin will only increase systemic risk and increase supervision difficulty for current China. The government’s cautious attitude towards cryptocurrency such as bitcoin is correct.

比特币 事件研究 政策 政治 安全性

bitcoin event study policy politics security

中文

联合培养

南方科技大学

卢杭杭. 基于事件研究法的比特币价格波动分析[D]. 深圳. 哈尔滨工业大学,2019.