虛擬貨幣由Satoshi Nakamoto（2008）提出的比特幣為鼻祖，於2009年1月投入運營，至2018年年底為止已有一千多種，總市值達到美元近1270億。虛擬貨幣不僅實現了與其他傳統資產類似的功能，許多研究也在探討虛擬貨幣的價值是貨幣、商品，抑或只是個技術產品，還是完全不同的媒介？虛擬貨幣的單位價格具有劇烈的波動度，其風險報酬取捨（Risk-return trade-off）顯著異於傳統資產。此外，虛擬貨幣不產生現金流，其價值多決定於供需、買賣雙方之信任機制以及投機性交易。
文獻上關於虛擬貨幣價值之看法，可分為基本面、總經面、行為面以及投機性投資等，尚未有較全面性之實證探討。故本研究嘗試納入各方因素，實證分析影響虛擬貨幣價值的因素。另一方面，相對於先前文獻只單獨研究比特幣、瑞波幣等虛擬貨幣，本研究納入十餘種虛擬貨幣，並探討美中貿易戰對於虛擬貨幣市場價值構成因素之影響。

Since Satoshi Nakamoto created bitcoin in 2008, more than one thousand cryptocurrencies have been launched, total market value over 127 billion USD. However, the value of cryptocurrency is highly volatile and has unconventional risk return tradeoff.

What determines the price of such speculative assets? This study tries to examine all aspects of cryptocurrency price determination, namely, fundamental (supply and demand), behavioral (investor attention, speculative trading) and macroeconomic (USD index, RMB, gold MSCI World) factors. It is the first such attempt to comprehensively explain the factors that influence cryptocurrency values.

Compared to previous literatures that only focus on single cryptocurrency such as Bitcoin or Ripple. This study includes more than ten kinds of cryptocurrencies, and studies the influences on the value of cryptocurrency before and after the US-China trade war.

論文審訂書 i
摘要 ii
ABSTRACT iii
LIST OF TABLES v
Chapter1 INTRODUCTION 1
1.1 Background Information 1
1.2 Research Purpose 6
1.3 Research Contribution 6
Chapter2 LITERARTURE REVIEW 7
2.1 Determinants of cryptocurrency value: Supply Factors 7
2.2 Determinants of cryptocurrency value: Macro-economic Factors 7
2.3 Determinants of cryptocurrency value: Behavioral Factors 8
2.4 Bitcoin’s bubble and crash 9
Chapter3 METHODOLOGY 10
3.1 Cryptocurrency 10
3.2 Macro-economic Factors 10
3.2.1 MSCI World 10
3.2.2 Gold 10
3.2.3 RMB 11
3.2.4 USD Index 11
3.3 Supply Factors 11
3.4 Behavioral Factors 11
3.4.1 Investor Attention 12
3.4.2 Speculation Proxy 12
3.5 Bitcoin Futures 12
3.6 The Determinations of Cryptocurrency value 13
Chapter4 EMPIRICAL RESULTS 14
4.1 Descriptive Statistics 14
4.1.1 Cryptocurrency Returns 14
4.1.2 Macro-economic Factors 15
4.1.3 Supply Factor 16
4.1.4 Behavioral Factor 17
4.1.5 Bitcoin Futures 18
4.2 The Relationship between cryptocurrencies and factors 18
4.3 Driving forces of cryptocurrency return 22
4.4 The Relationship between Bitcoin futures and spot return 24
Chapter5 CONCLUSION 25
REFERENCE 26

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