비트코인 반감기가 암호화폐 시장의 전이효과 | ebook

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비트코인 반감기가 암호화폐 시장의 전이효과

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영문명: Bitcoin Halving and Cryptocurrency Spillover Effect
발행기관: 한국무역연구원
저자명: 정대성(Dae-Sung Jung)
간행물 정보: 『무역연구』제20권 제6호, 337~353쪽, 전체 17쪽
주제분류: 경제경영 > 무역학
파일형태: PDF
발행일자: 2024.12.31

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Purpose - This research investigates the co-movement and information spillover effects in the cryptocurrency market, focusing on Bitcoin halving events. Using the total volatility spillover index developed by Diebold and Yilmaz (2012/2014/2015), the study evaluates the magnitude and direction of information spillovers among Bitcoin, Ethereum, and altcoins. Design/Methodology/Approach - By analyzing data across multiple sub-periods, the study compares volatility spillover effects before and after Bitcoin halving events, and conducts a 52-week moving average analysis to capture long-term patterns in market dynamics. Findings - The results confirm Bitcoin’s dominant role as the primary transmitter of volatility, with Ethereum emerging as a significant transmitter post-halving. Altcoins, in contrast, consistently act as receivers of volatility, with their dependency growing over time. The analysis reveals amplified volatility spillover effects after halving events, particularly highlighting Ethereum’s increased importance following the fourth halving and its ETF launch. Research Implications - These findings emphasize the need for policymakers and investors to monitor Bitcoin halving events closely, as they critically influence market stability and asset interdependencies. The study also highlights Bitcoin and Ethereum’s pivotal roles in shaping cryptocurrency market dynamics, providing a foundation for future research on structural changes and interconnectedness within digital asset markets.

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