A Local Premium and Fluctuations: An Empirical Study on KorBit and the International Market

• 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: PDF
• 발행일자: 2023.05.31

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

키워드

Bitcoin multivariate GARCH kimchi premium