학술논문
A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market
이용수 19
- 영문명
- A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market
- 발행기관
- 서울대학교 경제연구소
- 저자명
- 김재영 이준혁
- 간행물 정보
- 『Seoul Journal of Economics』Volume 36 No.2, 233~246쪽, 전체 14쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2023.05.31
4,480원
구매일시로부터 72시간 이내에 다운로드 가능합니다.
이 학술논문 정보는 (주)교보문고와 각 발행기관 사이에 저작물 이용 계약이 체결된 것으로, 교보문고를 통해 제공되고 있습니다.
국문 초록
영문 초록
Bitcoin, the first cryptocurrency created by Satoshi Nakamoto in 2009, has attracted considerable attention. The price of Bitcoin rose from $500 in the year 2014 to $70,000 in 2021, an astonishing 14,000% increase in the value, showing that it is a highly speculative asset. The Korean virtual currency exchange, KorBit, has emerged as a significant player in the global Bitcoin market, gaining considerable attention with a nontrivial premium known as the “kimchi premium”. We investigate how the Bitcoin’s value fluctuates and co-fluctuates across two markets of KorBit and international Bitcoin market (IntBit) based on a multivariate GARCH. We also explore what factors drive a relatively high yield and fluctuations in KorBit over IntBit. We have found that when the volatilities of Bitcoin’s yields in the two markets are contemporaneously high with a premium in KorBit, the correlation of the yields between the two markets decreases and highly fluctuates. We have also found that a relatively high yield of Bitcoin and its fluctuations in KorBit are mainly caused by depreciation of the Korean won and gains of KOSPI over S&P500.
목차
Ⅰ. Introduction
Ⅱ. Time-Varying Volatility in Bitcoin Markets
Ⅲ. Determinants of a Premium in Bitcoin Yields
Ⅳ. Concluding Remarks
Appendix
References
해당간행물 수록 논문
- Monopsony, Price Squeezing, and Sub-optimality
- The Role of Global Liquidity in Global Yield Dynamics
- Seoul Journal of Economics Volume 36 No.2 목차
- Resistant, Path Creation, or Resilient? An Empirical Study of 87 Innovative Cities Worldwide
- A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market
참고문헌
관련논문
최근 이용한 논문
교보eBook 첫 방문을 환영 합니다!
신규가입 혜택 지급이 완료 되었습니다.
바로 사용 가능한 교보e캐시 1,000원 (유효기간 7일)
지금 바로 교보eBook의 다양한 콘텐츠를 이용해 보세요!