재무연구 제 권 호 (2018년 5월)
Asian Review of Financial Research, Vol., No..
pp.1981~1997
pp.1981~1997
An Investigation of Dynamic Price Movements of the Cryptocurrency Coin in Korea
Geesun Lee School of Business Administration, Korea University, Republic of Korea
Denis Yongmin Joe School of Business Administration, Sungkyunkwan University, Republic of Korea
Jinho Jeong School of Business Administration, Korea University, Republic of Korea
This paper investigates the dynamic price movements of cryptocurrency market in Korea by employing asymmetric DCC multivariate GARCH and risk decomposition model to reflect the time-varying integration process. We find that the law of one price does not hold between Korean and developed markets like U.S. and Japan, implying that emerging cryptocurrency market can be a scapegoat of arbitragers. Moreover, our analyses indicate that the pricing in Korea is mostly based on domestic factors rather than global factors. Finally, we show that this arbitrage opportunity in Korean market is disappeared after a government regulation. This suggests that a suitable regulation is important to eliminate bubbles.
Geesun Lee
Denis Yongmin Joe
Jinho Jeong
This paper investigates the dynamic price movements of cryptocurrency market in Korea by employing asymmetric DCC multivariate GARCH and risk decomposition model to reflect the time-varying integration process. We find that the law of one price does not hold between Korean and developed markets like U.S. and Japan, implying that emerging cryptocurrency market can be a scapegoat of arbitragers. Moreover, our analyses indicate that the pricing in Korea is mostly based on domestic factors rather than global factors. Finally, we show that this arbitrage opportunity in Korean market is disappeared after a government regulation. This suggests that a suitable regulation is important to eliminate bubbles.
