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    政大典藏 > College of Commerce > International MBA > Theses >  Item 140.119/141134


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/141134


    Title: 比特加密貨幣指數之間的波動度外溢效果的實證研究
    Analysing the volatility spillovers between cryptocurrency indices
    Authors: 任魯姆
    Ramadani, Lumta
    Contributors: 蔡政憲
    Tsai, Jason
    任魯姆
    Lumta Ramadani
    Keywords: 比特幣
    加密貨幣
    以太坊
    GARCH模型
    波動度外溢
    Bitcoin
    Cryptocurrencies
    Ethereum
    GARCH models
    Volatility Spillovers
    Date: 2022
    Issue Date: 2022-08-01 17:41:56 (UTC+8)
    Abstract: The research analyses the volatility spillovers of the S&P Bitcoin and the S&P Ethereum Indexes as a hot research topic nowadays. This market is growing, thus it is important for investors and policy makers to understand the price volatility and make better investment and policy decisions. The data is extracted online from the S&P Cryptocurrency Index from the period April 2016 to April 2022. The data was chosen before COVID-19, and the impact of the virus on these two indices up to April, 2022. The results show a volatility clustering between these two indices. Moreover, the news in the S&P Bitcoin Index price returns impact largely the future volatility of the S&P Index price returns, and vice versa. There is a lack of literature for the Ethereum market, and researchers need to conduct research on this yet new market. Therefore, we hope that our thesis empirical research can influence future researchers to conduct more research in this field.
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    Description: 碩士
    國立政治大學
    國際經營管理英語碩士學位學程(IMBA)
    109933049
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109933049
    Data Type: thesis
    DOI: 10.6814/NCCU202200763
    Appears in Collections:[International MBA] Theses

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