【摘要】 阶跃行为是指信号传输中由于受到外界冲击而表现出来的异动行为。金融资产由于阶跃型供需同样会表现出阶跃性行为，那么，与金融市场紧密联系的加密数字货币（以下简称数字货币）是否也具有阶跃行为呢？本文选取2017年1月—2021年5月ChaiNext5指数的日度数据，通过纯滞后阶跃GARCH模型对数字货币的阶跃行为进行识别，发现了数字货币中存在类阶跃信号的异动现象——阶跃行为。在数字货币阶跃行为特征的分析中发现，阶跃行为表现出集聚性、时变性和非对称性，正负阶跃行为交替时脉冲响应的叠加效果会逐渐减小。本文从“非常态”事件的冲击视角进一步探索引发阶跃行为的原因，将“非常态”事件划分为政治、经济、技术等五类以探究五类事件对数字货币的冲击响应。结果表明，数字货币受经济类事件的冲击响应最敏感，其次是政治、技术、社会和法律类事件，数字货币对媒体关注度及投资者羊群行为引发的社会类阶跃行为的消化能力较强，对加密数字货币基层算法技术引发的阶跃行为消化能力弱差，中国严明的监管政策干预会对数字货币在滞后期产生强烈的正向脉冲，对数字货币衍生品市场的监管会驱使数字货币更加成熟。更多还原

【Abstract】 Step behavior refers to the behavior of the signal transmission due to external shock, financial assets because of step-by-step supply and demand will also show step behavior, then the cryptocurrency market closely related to the financial market also has step behavior? In this paper, the daily data of the ChaiNext5 index from January 2017 to May 2021 are selected to identify the step behavior of the digital money market by the pure lag step GARCH model, and the phenomenon of the anomaly of the class step signal in the digital money market is found. In the analysis of the behavior characteristics of step in digital money market, it is found that step behavior shows agglomeration, time variability and asymmetry, and the overlay effect of pulse response decreases gradually when positive and negative step behavior alternates. The causes of step behavior are explored from the impact perspective of “extraordinary” events, and “extraordinary” events are divided into five categories: politics, economy and technology to explore the response of five kinds of events to the digital money market. The results show that the digital money market is most sensitive to economic events, followed by political, technical, social and legal events, digital money market has strong digestion ability to media attention and social step behavior caused by investor herd behavior, poor digestion ability to the step behavior caused by cryptocurrency algorithm technology, and the strong positive pulse that China’s strict regulatory policy intervention will produce in the lag period of digital money market. Regulation of the digital currency derivatives market will drive the digital money market to become more mature.更多还原