臺灣博碩士論文加值系統

本文研究目的實證加密貨幣市場動能交易有效性，由於加密貨幣市場短期具有動能效果，因此將Jegadeesh et.al (1993)提出的動能交易使用到加密貨幣市場，並修正動能交易原本的過去強勢做多、弱勢做空。本文建構投資組合日資料，將比特幣定義為大盤，以200MA判斷多頭或空頭市場。本文挑選30隻山寨幣組成投資組合，並且觀察期7、5、3天，配合持有期7、5、3天形成多種組投資組合。並根據正動能、反動能、多方正反動能、空方正反動能進行策略研究。本文結果顯示，多方正反動能策略在觀察期7天及持有期7天的情況之下年化報酬率78.98%，雖然沒辦法贏過比特幣買入持有策略的年化報酬率95.17%，但從風險層面年化標準差來看明顯降低許多，對於風險趨避者的投資人來說會是比較好的策略。除此之外由於本文使用CAPM檢驗超額報酬結果顯示投資組合C多方正反動能策略投資組合，在觀察期7天、持有期7天之策略可以獲得顯著的超額報酬。

The purpose of this paper is to demonstrate the effectiveness of momentum trading in the cryptocurrency market. Since the cryptocurrency market has a short-term momentum effect, this study uses the momentum trading proposed by Jegadeesh et.al (1993) in the cryptocurrency market, and modifies the original momentum trading by buying past losers and selling past winners. This article define Bitcoin as the proxy of market index, using 200MA to decide bull or bear market. This research selects 30 altcoins to make a portfolio with an observation period of 7, 5, 3 days and a holding period of 7, 5, 3 days. The research tests the momentum, contrarian, bull momentum and contrarian, bear momentum, and contrarian. The results of this paper show that the bull momentum and contrarian have an annualized rate of return 78.98% with the observation period of 7 days and the holding period of 7 days, although lower than the Bitcoin annualized rate of return 95.17%, the annualized standard deviation is significantly lower and therefore is a better strategy for risk-averse investors. In addition, this paper uses CAPM to test the abnormal returns. The empirical results show the portfolio C(the observation period of 7 days and the holding period of 7 days) using bull momentum and contrarian strategy can obtain abnormal returns.

目錄
摘要 i
Abstract ii
誌謝 iii
目錄 iv
圖目錄 vi
表目錄 vii
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 2
第三節、研究架構 3
第二章、文獻探討 4
第一節、加密貨幣的特性 4
第二節、加密貨幣投資組合策略 6
第三節、加密貨幣技術指標策略 9
第四節、加密貨幣動能及反動能策略 11
第三章、研究方法和設計 14
第一節、研究架構 14
第二節、研究方法和設計 19
第四章、實證結果與分析 22
第一節、比特幣與30幣種分析 22
第二節、投資組合A分析 24
第三節、投資組合B分析 26
第四節、投資組合C分析 29
第五節、投資組合D分析 32
第六節、CAPM模型分析 35
第五章、結論與建議 36
第一節、研究結論 36
第二節、研究建議 37
參考文獻 38

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