The Structural Shifts in Bitcoin’s Role as a Predictor of the KOSPI Index

• 영문명: The Structural Shifts in Bitcoin’s Role as a Predictor of the KOSPI Index
• 발행기관: 한국APEC학회
• 저자명: 김재호(Jaeho Kim) 박상민(Sangmin Park)
• 간행물 정보: 『Journal of APEC Studies』Vol.15 No.2, 87~102쪽, 전체 16쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2023.12.31

영문 초록

This paper explores the efficiency of the KOSPI market by examining its predictability, with a focus on the influence of Bitcoin returns during non-trading hours. Utilizing predictive models incorporating many financial assets, we find a significant predictive value in the Bitcoin return for the KOSPI return. We also identify a gradual structural break in the KOSPI-Bitcoin relationship, a shift from traditional market efficiency paradigms. This gradual transition, influenced by recent economic and regulatory changes, underscores potential arbitrage opportunities.

목차

Ⅰ. Introduction

Ⅱ. Preliminary analysis

Ⅲ. Structural break in return predictability

Ⅳ. Intermarket News Flow: Bitcoin to KOSPI

Ⅴ. Concluding Remarks

References

키워드

return predictability structural break Bitcoin KOSPI