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研究生： 陳世昌
Chen, Shi-Chang
論文名稱： 比特幣與黃金價格關係
The Price Relationship Between Bitcoin and Gold
指導教授： 鄭旭高
Cheng, Hsu-Kao
口試委員: 鄭旭高
Cheng, Hsu-Kao
吳文傑
Wu, Wun-Jie
彭喜樞
Peng, Si-Shu
學位類別： 碩士
Master
系所名稱： 社會科學學院 - 應用經濟與社會發展英語碩士學位學程(IMES)
International Master's Program of Applied Economics and Social Development(IMES)
論文出版年： 2025
畢業學年度： 113
語文別： 英文
論文頁數： 93
中文關鍵詞： 比特幣 、黃金 、避險資產 、金融科技 、投資行為 、政策影響 、數位經 濟 、市場波動 、地緣政治風險
外文關鍵詞： Bitcoin, Gold, Safe-haven Assets, Financial Technology, Investment behavior, Policy Impact, Digital economy, Market volatility, Geopolitical risk
相關次數： 點閱：35  下載：12 
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    • 在金融科技的浪潮與資訊透明化的推動下，投資知識的普及正悄然改變全球金融市場的面貌。金融產品的多樣性從黃金等傳統實體資產延伸至比特幣等虛擬資產，促使投資者重新審視避險資產的角色與價值。2025年，美國總統唐納德·川普宣布建立「美國戰略比特幣儲備」，為加密貨幣市場帶來深遠變革，將比特幣推向避險資產的討論前沿，與黃金的穩固地位形成鮮明對比。本研究聚焦比特幣與黃金在經濟與地緣政治動盪中的避險表現，探討其價格波動、投資者偏好及市場間的交互影響，並分析川普政策如何為加密貨幣注入新的市場動能。
    透過近年來的市場數據，結合全球黃金需求結構與比特幣的交易特性，本研究剖析兩者在危機中的表現差異。黃金憑藉其歷史積澱，長期作為避險的基石；比特幣則因數位化特性與市場新契機，展現出獨特的吸引力。研究運用統計分析，探索價格背後的驅動因素與資產間的動態關係，試圖揭示數位經濟時代避險資產的演變軌跡。類似地，歷史上黃金曾在金融危機中屹立不搖，而比特幣如今正試圖在數位浪潮中尋找立足之地。本研究希望為理解虛擬與實體資產的競爭與共存提供線索，並為金融市場的未來發展增添一抹思考。

    Amid the wave of financial technology and the drive for greater information transparency, the popularization of investment knowledge is quietly transforming the global financial landscape. The diversity of financial products has expanded from traditional physical assets like gold to virtual assets like Bitcoin, prompting investors to re-examine the role and value of safe-haven assets. In 2025, U.S. President Donald Trump announced the establishment of the “U.S. Strategic Bitcoin Reserve,” which brought about profound changes in the cryptocurrency market and pushed Bitcoin to the forefront of discussions about safe-haven assets, creating a stark contrast to the established status of gold.
    This study focuses on the safe-haven performance of Bitcoin and gold during economic and geopolitical turmoil, exploring their price volatility, investor preferences, and interactions within the market. It also analyzes how Trump’s policies inject new market momentum into the cryptocurrency sector.
    By leveraging recent market data and combining the global demand structure for gold with Bitcoin’s trading characteristics, this study examines the differences in their performance during crises. Gold, with its historical significance, has long served as a cornerstone of hedging, while Bitcoin, driven by its digital nature and new market opportunities, shows unique appeal. The research employs statistical analysis to explore the driving forces behind prices and the dynamic relationships between assets, aiming to reveal the evolution of safe-haven assets in the digital economy era.
    Historically, gold has remained resilient during financial crises, and today, Bitcoin is trying to find its place amid the digital wave. This study seeks to provide insights into the competition and coexistence of virtual and physical assets and to offer a thoughtful perspective on the future development of financial markets.

    CHAPTER 1.INTRODUCTION 1
    1.1 Background of the Study 1
    1.2 Motivation and Significance 5
    1.3 Research Purpose 8
    1.4 Research Questions 9
    1.5Research Limitations 10
    CHAPTER 2. LITERATURE REVIEW 12
    2.1 Theoretical Foundations of Factors Influencing Gold Prices 12
    2.1.1 Macroeconomic Factors 12
    2.1.2 Geopolitical Risks 13
    2.1.3 Market Supply and Demand 13
    2.1.4 Literature Gap 14
    2.2 Characteristics of the Bitcoin Market and Related Studies 15
    2.2.1 Price Volatility 15
    2.2.2 Market Variables 15
    2.2.3 Policy and Regulatory Impacts 16
    2.2.4 Literature Gap 16
    2.3 Comparison of Bitcoin and Gold as Safe-Haven Assets 17
    2.3.1 Similarities 17
    2.3.2 Differences 20
    2.3.3 Policy Impacts 24
    2.4 Correlation Between Cryptocurrency and Traditional Precious Metals Markets 25
    CHAPTER 3. RESEARCH METHODOLOGY 27
    3.1 Research Design 27
    3.2 Data Sources and Collection Methods 29
    3.2.1 Bitcoin Data 29
    3.2.2 Gold Data 30
    3.2.3 Market Control Variables 30
    3.2.4 Crisis Events and Structural Break Data 31
    3.2.5 Data Processing 31
    3.2.6 Data Cleaning and Processing Procedures 32
    3.3 Variable Definitions and Measurements 36
    3.3.1 Bitcoin Prices and Market Variables 36
    3.3.2 Gold Price Variables 36
    3.3.3 Variables and Measurements in Time-Varying Parameter Analysis 37
    3.4 Analytical Methods 38
    3.4.1 Statistical Models 38
    3.4.2 Hypothesis Testing Methods 45
    3.5 Research Hypotheses 49
    CHAPTER 4. DATA ANALYSIS AND RESULTS 52
    4.1 Descriptive Statistical Analysis 52
    4.2 Correlation Analysis Between Bitcoin and Gold Prices 55
    4.2.1 Static Correlation Analysis 55
    4.2.2 Dynamic Correlation Analysis 56
    4.3 Model Results and Interpretation 56
    4.3.1 Granger Causality Tests 56
    4.3.2 Impulse Response Function (IRF) Analysis 57
    4.3.3 Macroeconomic Variable Control Analysis 58
    4.3.4 Policy Breakpoint Analysis 59
    4.3.5 Visualization of Macroeconomic Variables and Structural Breakpoints 61
    4.3.6 Analysis of Safe-Haven Performance During Crisis Events 63
    4.3.7 Impact of Control Variables 66
    4.3.8 Copula-Based Dependence Analysis 67
    4.4 Hypothesis Testing and Robustness Analysis 70
    4.4.1 Robustness of Granger Causality Tests 70
    4.4.2 Quantile Regression Analysis 72
    4.4.3 Structural Breakpoint Tests 72
    4.4.4 Research Limitations and Future Directions 73
    4.4.5 Hypothesis Testing and Student-t GARCH Analysis 74
    4.4.6 Time-Varying Parameter Vector Autoregression (TVP-VAR) Analysis 77
    CHAPTER 5. CONCLUSION 79
    5.1 Research Conclusions 79
    5.1.1 Hypothesis H1: Safe-Haven Function Comparison 79
    5.1.2 Hypothesis H2: Diversification Potential and Correlation 80
    5.1.3 Hypothesis H3: Policy Breakpoint Impact 80
    5.1.4 Hypothesis H4: Policy Impact on Volatility Dynamics 81
    5.2 Research Contributions 82
    5.2.1 Academic Contributions 82
    5.2.2 Practical Contributions 83
    5.3 Policy and Practical Implications 83
    5.4 Research Limitations and Future Directions 85
    REFERENCES 88

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