比特幣價格與臺灣比特幣概念股股價的關聯

本研究分析比特幣價格與臺灣比特幣相關概念股價格的關係。分析期間為2011年1月1日至2018年6月30日。先使用單根檢定確認變數的整合階次，並使用ZA檢定找出結構變遷時點。然後使用自我迴歸遞延分配模型(ARDL)分析比特幣價格與臺灣比特幣概念股價格的共整合關係。接著使用Granger因果關係檢定確認比特幣與公司股價間的領先─落後關係。本研究依照ZA檢定所測出的結構變遷時點分為全部期間、結構變遷前與結構變遷後進行分析。根據ZA檢定結果顯示比特幣結構變遷時點為2013年11月30日，此月適逢美國聯準會認可比特幣，可做為重大事件對於比特幣的衝擊。重大事件的發生會影響比特幣價格，忽略結構變遷將使估計及預測產生誤差。實證結果顯示在全部期間有技嘉、微星、麗臺與青雲等顯示卡產業、電源供應器產業與ASIC晶片產業的4家公司股價與比特幣價格有共整合關係，在結構變遷後與比特幣價格呈現共整合關係的有技嘉、麗臺、創意、曜越、青雲與撼訊等等顯示卡產業、電源供應器產業與ASIC晶片產業的6家公司。此結果表明比特幣價格上漲後會帶動比特幣相關概念股股價。

關鍵字

比特幣；比特幣概念股； Zivot and Adrews單根檢定；自我迴歸遞延分配模型； Granger因果關係

並列摘要

This study discusses the relationship between Bitcoin price and Taiwan's Bitcoin stocks price. The analysis period was from January 1, 2011 to June 30, 2018. First, we assess the order of integration through unit root tests. The structural change of Bitcoin price is found by ZA test to be at November 30, 2013. Next, we use the ARDL model to estimate the cointegration relationship between Bitcoin price and the price of Bitcoin stocks. Finally, for those stocks whose price is cointegrated with Bitcoin price, we further analyze the interaction between stock price and Bitcoin price using Granger causality. We find that Bitcoin price is cointegrated with the stock price of companies that produce display card, power supply, and application-specific integrated circuit (ASIC). During the whole period, Bitcoin price is cointegrated with the share price of GIGABYTE, MSI, LEADTEK and ALBATRON. After the structural break, the share price of LEADTEK, GIGABYTE, GLOBAL UNICHIP, THERMALTAKE, ALBATRON and TUL are cointegrated with Bitcoin price. Bitcoin price Granger causes the prices of the last five companies. The empirical results show that Bitcoin price drives the stock price of companies manufacturing electronic components used in Bitcoin mining. Moreover, after the structural break in Bitcoin price, the cointegration relationship became stronger and more prevalent.