Binance ETH 總量變化加密貨幣市場的影響

Abstract

本研究旨在分析加密貨幣市場中用戶將乙太幣（ETH）存入或提領至Binance的地址對市場產生的影響，而本研究之研究期間為2019年至2022年。本研究選取了Binance此中心化交易所的21個公開且主要的ETH錢包地址作為研究樣本，並每隔五分鐘記錄這些地址中的ETH數量。實證結果顯示，在控制其他變數並控制迴歸標準差的情況下，Binance的ETH總量變化，與當下或五分鐘內的報酬之間呈現顯著的正向關係。此外，加入過去一段時間的報酬作為控制變數，一般而言，當ETH總量的變化時，過去一段時間的報酬會影響對於當下五分鐘報酬的呈現顯著反向關係。接著，本研究引入了與交易量相關的控制變數，例如異常交易量和Amihud illiquidity。結果顯示，當市場較為活躍或交易量較高時，ETH總量的變化對報酬的影響程度也會增加。 此外，本研究發現，在ETH總量變化之後的15-20分鐘內，雖然在使用Newey West估計式後沒有達到統計上的顯著性，但結果仍顯示Binance ETH總量變化與後續一段期間的報酬呈現負向關係。 因此，本研究認為當用戶在Binance地址進行ETH存入或提領時，作為申請提款或存入的一方，本研究定義為資訊領導者。資訊優勢方可能會操縱市場，使市場短暫出現資訊不對稱後，並以有利於自身的市場價格進行交易。同時，雖然區塊鏈上資產轉移的公開透明性，但市場中大部分的參與者消息存在延遲，故會在總量變化之後才產生預期心理，近一步引起買進或者拋售的效果。

This study aims to analyze the impact of user deposits and withdrawals of Ethereum (ETH) to and from Binance addresses on the cryptocurrency market. The study period spans from 2019 to 2022. The research sample consists of 21 publicly available and major ETH wallet addresses on the centralized exchange Binance. The ETH quantities in these addresses are recorded every five minutes. The empirical results indicate a significant positive relationship between the total ETH changes on Binance and the contemporaneous or five-minute returns when controlling for other variables and regressing on the standard deviation. Additionally, when past returns are included as control variables, generally, the changes in the ETH total have a significantly negative effect on the five-minute returns. Moreover, the study finds that within 15-20 minutes after the ETH total changes, although not statistically significant after using the Newey-West estimation, there is a negative relationship between Binance ETH total changes and the returns within the 20-minute period following the total changes. Therefore, the study suggests that information leaders may manipulate the market in their favor to achieve advantageous market prices for trading. Despite the public transparency of asset transfers on the blockchain, most market participants experience delayed information, leading to expected psychological reactions after the total changes, which further trigger buying or selling effects.