题目：中国的ICO禁令是否改变了比特币市场？(Did China’s ICO ban alter the Bitcoin market？)

作者：David Iheke Okorie,林伯强*

期刊：国际经济金融评论(International Review of Economics & Finance)

详细：69卷， 2020年9月，977-993页

DOI：https://doi.org/10.1016/j.iref.2020.05.016

文献导读：

ICO（初始代币发行）使得加密货币市场在过去的几年里获得了增长。本文试图探讨中国于2017年9月4日正式推出的ICO禁令对比特币市场交易量和回报（价格）的结构性影响。ICO禁令导致比特币以及全球其他加密货币在禁令发布后的第一个24小时内价格下跌。中国的ICO禁令很可能减少了比特币的交易量，进而反过来影响了交易量与回报率之间现有的关系（相关性）。

一些有趣的议题应运而生。中国政府的这一行动是否影响了比特币市场？对于散户和机构投资者来说，有什么值得借鉴的教训？本文基于事件研究法探讨中国ICO禁令对比特币市场内收益关系的影响及其对投资者（机构和私人）的影响。相关结果表明，政府干预（中国ICO禁令）改变了比特币市场的结构关系。由于政府的这一行动导致比特币的回报率大幅下降，投资者因此受到了短暂的影响。

Abstract: Since its introduction to the global market in 2009 Bitcoin has been experiencing steady growth. The daily closing price and volume series of Bitcoin, within the window of Chinese government intervention (i.e. ICO ban) was used to show empirical evidences of significant alterations in the market. This resulted in a lead-follow effect ex-ante ICO ban, decreased return ex-post, and different response of return to shocks (ex-ante & ex-post periods) through the shock adjustment path analysis. Shock internalization are different between these periods. In addition, forecasts were made for price and volume of Bitcoin. Finally, the introduced the Exogenous GARCH (ExoGARCH) model shows that the ICO ban altered the short term and long term volatility clustering of Bitcoin return and volume in unique ways. Some policy recommendations are provided based on the findings of the paper.

Keywords: Bitcoin market, Government driven risks, Event study, Forecast