比特幣價格與台灣相關概念股股價關聯性之研究

The Relationship between the Price of Bitcoin and the Stock Prices of Related Companies in Taiwan

鑒於比特幣等電子加密貨幣的盛行，其中技嘉、台積電、華碩及台達電分別為台灣比特幣挖礦設備族群中－－顯示卡、ASIC晶片、電腦主機板及電源供應器之四大龍頭股，其股價有隨比特幣價格起伏之現象，因此本研究探討比特幣價格漲跌與台灣比特幣相關概念股股價之領先落後關係，藉以為投資台灣比特幣相關概念股大眾帶來研究貢獻。
本研究以單根及自我向量迴歸模型為研究方法，探究比特幣價格對台灣比特幣相關概念股股價之影響，研究期間為2014年9月17日至2021年12月31日，頻率為日，實證結論發現，比特幣報酬率與台灣四檔比特幣相關概念股兩兩間的最適落遲期數皆為1期，比特幣報酬率與本論文探討之四檔臺灣比特幣相關概念個股報酬率（技嘉、台積電、華碩及台達電）為正向變動，且比特幣報酬率具有正向領先一期（即一日）台灣四檔比特幣相關概念股(技嘉、台積電、華碩及台達電)的情形。

In view of the prevalence of electronic cryptocurrencies such as Bitcoin, GIGABYTE, TSMC, ASUS and Delta in the Taiwan stock market are the top four in Taiwan's Bitcoin mining equipment groups - graphics cards, ASIC chips, computer motherboards and power supplies. The stock price of leading stocks follows the fluctuations of the price of Bitcoin. Therefore, we study the relationship between the price of Bitcoin and the leading and backwardness of the stock price of Taiwan Bitcoin-related concept stocks.
This study uses single root and self-vector regression models as research methods to explore the impact of bitcoin prices on the stock prices of bitcoin-related concept stocks in Taiwan. The research period is from September 17, 2014 to December 31, 2021, and the frequency is daily. After a rigorous empirical process, the following conclusions were obtained: The optimal number of lags between Bitcoin’s return rate and Taiwan’s four bitcoin-related concept stocks (Gigabyte, TSMC, ASUS, and Delta) is both 1 period, and there is no leading-lagging relationship. The return rate of individual stocks in the four-level Taiwan Bitcoin-related concepts discussed in the paper is a positive change.