本文針對加密貨幣市場進行投機性泡沫時點的偵測，藉由歷史事件的分析以推估其發生的原因，盼作為投資人在未來投資時的判斷依據。本文採用Phillips et al.(2015a)提出的一般化最小上界擴增型Dicky-Fuller檢定(GSADF)，分別對加密貨幣市場指數(CRIX)、比特幣(BTC)、以太幣(ETH)及瑞波幣(XRP)發生投機性泡沫的時點進行偵測。研究結果顯示，在可預期的資訊下，倘若市場交易持續膨脹且市場價格偏離實質資本價值，將產生正向的投機性泡沫，泡沫發生的期間內亦會導致市場價格呈現上漲的趨勢。然而，在不可預期的資訊下，如果市場價格逐漸脫離實質資本的價值，將導致負向的投機性泡沫出現，市場價格亦會呈現下跌的狀態。此外，本研究發現，加密貨幣市場指數與比特幣價格發生投機性泡沫的時點有亦步亦趨的現象，我們認為這是因為比特幣佔加密貨幣市場68%市場佔有率的緣故，且當比特幣市場遭遇衝擊，其影響也會帶動整體加密貨幣市場的波動。

The purpose of this paper is to detect the speculative bubbles occurred in the cryptocurrency markets. By detecting the dates of bubbles and analyzing the historical events that cause the price of cryptocurrency to rise and fall, we hope this paper can provide some valuable information for investors to make their investment decision.
　　This paper using the Generalized Supremum Augmented Dicky-Fuller test (GSADF), proposed by Phillips et al. (2015a), to detect the speculative bubbles occurred in the whole cryptocurrency market and  three individual cryptocurrency markets, i.e., Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP). According to our results, we find that if market transactions keep expanding and the price deviate from the real value under predictable information, a positive speculative bubble will occur, and the market price will show an upward trend during the formation of the bubbles. On the contrary, if market transactions keep expanding and the price deviate from the real value under unpredictable information, a negative speculative bubble will emerge, and the market price will decline. In addition, we find that the speculative bubbles on the while Cryptocurrency index and Bitcoin prices are in line with each other most of the time. This is because that Bitcoin take 68% market share in the cryptocurrency market. When the Bitcoin market faces a shock, it may also affect the whole cryptocurrency market as well.

目　錄
第一章　緒論						1
　　第一節　研究動機與目的				1
　　第二節　研究架構					4
第二章　文獻回顧						6
　　第一節　投機性泡沫相關文獻探究				6
　　第二節　加密貨幣相關文獻探究				9
第三章　研究方法與資料					11
　　第一節　研究方法					11
　　第二節　樣本範圍與變數定義				16
第四章　實證結果與分析					23
　　第一節　影響加密貨幣指數的投機性泡沫			24
　　第二節　影響比特幣價格的投機性泡沫			27
　　第三節　影響以太幣價格的投機性泡沫			31
　　第四節　影響瑞波幣價格的投機性泡沫			36
　　第五節　小結						38
第五章　結論與建議					40
參考文獻							43

圖　目　錄
圖1-1　本文研究架構					5
圖3-1　遞迴SADF程序					12
圖3-2　遞迴GSADF程序					13
圖3-3　BSADF檢驗的日期戳記策略				15
圖3-4　加密貨幣指數走勢圖					20
圖3-5　比特幣走勢圖					20
圖3-6　以太幣走勢圖					21
圖3-7　瑞波幣走勢圖					21
圖4-1　加密貨幣指數泡沫化時點偵測圖			26
圖4-2　比特幣泡沫化時點偵測圖				30
圖4-3　以太幣泡沫化時點偵測圖				35
圖4-4　瑞波幣泡沫化時點偵測圖				37
圖4-5　加密貨幣市場指數及各加密貨幣泡沫時點圖		39

表　目　錄
表3-1　加密貨幣產生方式及其預計發行總量			19
表3-2　變數定義						22
表3-3　加密貨幣指數及前三大市占率加密貨幣敘述統計量		22
表4-1　GSADF檢定結果					23
表4-2　加密貨幣指數泡沫時點統整表				26
表4-3　比特幣泡沫時點統整表				31
表4-4　以太幣泡沫時點統整表				35
表4-5　瑞波幣泡沫時點統整表				38

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