암호화폐 자산의 정보 효율성에 대한 연구 - 주식시장에서의 선행지표로서의 정보 효율성을 중심으로

• 영문명: A Study on Information Efficiency of Cryptocurrency Assets - Focusing on information efficiency as a leading indicator in the stock market
• 발행기관: 서울사이버대학교 미래사회전략연구소
• 저자명: 안상선(Sangsun Ahn)
• 간행물 정보: 『미래사회』제12권 제2호, 51~73쪽, 전체 23쪽
• 주제분류: 사회과학 > 사회과학일반
• 파일형태: PDF
• 발행일자: 2021.12.31

국문 초록

본 논문은 암호화폐 가격 정보가 금융시장에서 투자정보로서 역할을 할 수 있는지 실증 분석했으며, 이를 위해 4개의 연구 질문을 구성했다. 암호화폐의 가격정보가 금융시장에서 투자정보로서 역할을 하기 위해서는 첫째, 암호화폐 가격정보가 우리의 연구 대상은 주식시장과 관련이 있어야 한다. 이를 위해서 암호화폐의 가격 정보와 우리나라의 종합주가지수(KOSPI지수)와의 관계를 살펴본다. 둘째, 사전 정보로서 가능성을 검증하기 위해 과거 시점의 암호화폐 가격정보와 현재 주식시장의 가격변수와의 관계를 살펴본다. 이는 암호화폐 가격이 예측가능성 있는 투자지표로서 역할을 할 수 있는지를 검증한 것이다. 셋째, 불확실성이 높은 상황에서도 암호화폐의 가격정보가 투자지표로서 역할을 할 수 있는지 검증한다. 금융 연구에서는 1999년 동아시아의 금융위기, 2008년에 미국발 금융위기 등과 같은 비일상적인 상황에서 금융 시장을 다룬 연구가 많다. 여기서는 코로나19 팬데믹 선언을 한 2020년 1월 29일을 기점으로 그 이전과 이후로 기간을 나눴으며, 2기간 간에 암호화폐 가격의 정보의 효율성을 비교했다. 그리고 이상의 결과를 종합해서 암호화폐를 이용한 사전적인 투자지표를 구성해보고 이에 대한 성과를 분석하고 한계점을 다루기로 한다.

영문 초록

This paper empirically analyzed whether cryptocurrency price information can play a role as investment information in the financial market, and for this purpose, four research questions were composed. In order for cryptocurrency price information to play a role as investment information in the financial market, first, cryptocurrency price information must be related to the stock market, the subject of our study. To this end, we examine the relationship between cryptocurrency price information and Korea‘s Composite Stock Index (KOSPI). Second, in order to verify the possibility as prior information, we examine the relationship between price information of cryptocurrencies in the past and price variables of the current stock market. This is a verification that the cryptocurrency price can serve as a predictable investment indicator. Third, we verify whether the price information of cryptocurrencies can serve as an investment index even in situations of high uncertainty. In financial research, there are many studies dealing with the financial market in unusual situations, such as the financial crisis in East Asia in 1999 and the financial crisis in the United States in 2008. Here, we divided the period before and after January 29, 2020, when the Corona 19 pandemic was declared, and compared the efficiency of information on cryptocurrency prices between the two periods. The above empirical analysis results and their analysis are summarized below. First, cryptocurrency price information should be related to the stock market, the subject of our study. To this end, the relationship between cryptocurrency price information and Korea‘s Composite Stock Index (KOSPI) was examined. As a result of the analysis, there was no significant relationship between the price information of cryptocurrency and the Composite Stock Index. Second, in order to verify the possibility as prior information, the relationship between the price information of cryptocurrencies in the past and the price variables of the current stock market was examined. This is to verify that the cryptocurrency price can serve as a predictable investment indicator. In the case of Bitcoin(BTC) it was found that the price information 15 days ago and the price information 1 day ago had a significant positive (+) relationship with the KOSPI at the 1% level. The correlation coefficients were 0.064 and 0.067, and there was no significant difference. This means that in the short term, price information on cryptocurrencies can be used as predictive information on stock prices in the short term (within one week). In the case of Ethereum (ETH), there was a significant negative (-) relationship with the KOSPI at the price 15 days ago, showing a difference from BTC (Bitcoin). It is presumed that this is because Ethereum (ETH) has a smaller transaction volume compared to Bitcoin and its popularity is also low. Third, we verify whether the price information of cryptocurrencies can serve as an investment index even in situations of high uncertainty. The correlation between the past price information of BTC (Bitcoin) and ETH (Ethereum) with the stock index was different between before and after Corona 19, and especially after Corona 19, the correlation was higher. Therefore, it can be interpreted that the usefulness of cryptocurrency past price information increases as uncertainty increases.

목차

Ⅰ. 서론

Ⅱ. 본론

Ⅲ. 결론

키워드

암호화폐 정보효율성 효율적 시장가설 변동성 코로나19 cryptocurrency information efficiency efficient market hypothesis volatility COVID-19