Earticle

초록

영어

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.

목차

ABSTRACT
 I. Introduction
 II. Literature Review
 III. Methodology
 IV. Empirical Evidence
 V. Conclusion
 References

키워드

저자

• 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 ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330