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A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim Jae-Young | - |
dc.contributor.author | Lee Joon-Hyuck | - |
dc.date.accessioned | 2023-06-09T08:51:35Z | - |
dc.date.available | 2023-06-09T08:51:35Z | - |
dc.date.issued | 2023-06 | - |
dc.identifier.citation | Seoul Journal of Economics, Vol.36 No.2, pp.233-246 | - |
dc.identifier.issn | 1225-0279 | - |
dc.identifier.uri | https://hdl.handle.net/10371/192810 | - |
dc.description.abstract | 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 Bitcoins 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 Bitcoins 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. | ko_KR |
dc.language.iso | en | ko_KR |
dc.publisher | Institute of Economic Research, Seoul National University | ko_KR |
dc.subject | Bitcoin | - |
dc.subject | multivariate GARCH | - |
dc.subject | kimchi premium | - |
dc.subject | JEL Classification: C32; C58; G15 | - |
dc.title | A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market | ko_KR |
dc.type | SNU Journal | ko_KR |
dc.identifier.doi | 10.22904/sje.2023.36.2.004 | ko_KR |
dc.citation.journaltitle | Seoul Journal of Economics | ko_KR |
dc.citation.endpage | 246 | ko_KR |
dc.citation.number | 2 | ko_KR |
dc.citation.startpage | 233 | ko_KR |
dc.citation.volume | 36 | ko_KR |
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