本論文想藉由因子模型探討加密貨幣的超額報酬和金融壓力及經濟政策不確定性之關聯，使用Deng et al. (2019) 的四因子模型，其中包含市場因子、規模因子、流動性因子及動能因子，並再加入金融壓力指數 (FSI) 及經濟政策不確定性指數 (EPU)，並採用不同國家的EPU加以分析其結果是否存在差異。實證結果顯示，加密貨幣超額報酬和金融壓力指數不存在顯著相關性，但兩者關係趨向負相關，另外和全球EPU指數則部分呈現負向顯著相關，即當經濟政策的不確定性增加時，加密貨幣的超額報酬會下降，但不受單一國家EPU影響。;This thesis uses the factor model to explore the relationship between cryptocurrency’s excess return and financial stress and economic policy uncertainty. Using the four-factor model of Deng et al. (2019), which includes market, size, liquidity and contrarian factors, we further add the Financial Stress Index (FSI) and Economic Policy Uncertainty Index (EPU) into the factor model, and also use the EPU of different countries to analyze whether the results are different. The empirical results show that there is no significant correlation between cryptocurrency’s excess return and financial stress index, but the relationship between the two tends to be negatively correlated. In addition, it is partially negatively correlated with the global EPU index, that is, when the uncertainty of economic policy increases, the return of the cryptocurrency will decrease, but it is not affected by the EPU of a single country.
