Earticle

초록

영어

The volatility of major crypto currencies was examined and they are diagnosed whether they have a systematic risk or not, by estimating market beta representing systematic risk using GARCH( Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that their prices are very volatile over time because of the existence of ARCH and GARCH effects. Second, in terms of efficiency, asymmetric GJR model was estimated to be the most appropriate model because the standard error of a market beta was less than that of the OLS model and GARCH model. Third, the estimated market beta of Bitcoin using GJR model was less than 1 at 0.8791, showing that there is no systematic risk. However, unlike OLS model, the market beta of Ethereum and Ripple was estimated at 1.0581 and 1.1222, showing that there is systematic risk. This result shows that bitcoin is less dangerous than Ripple and Ethereum, and ripple is the most dangerous of all three crypto currencies. Finally, the major cryptocurrency found that the negative impact caused greater variability than the positive impact, causing bad news to fluctuate more than good news, and therefore good news and bad news had a different effect on the variability.

목차

Abstract
1. 서론
2. 이론적 고찰 및 연구방법
2.1 이론적 고찰
2.2 연구방법론
3. 주요 암호화폐에 대한 변동성 분석
4. 체계적 위험의 추정
4.1 조건부 이분산 분석
4.2 체계적 위험 추정 및 효율성 평가
5. 결론
Acknowledgement
References

키워드

저자

• 이중만 [ Jungmann Lee | Professor, Hoseo University, Department of Mgt. of Digital Technology ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  JITAM [Journal of Information Technology Applications and Management]

• 간기

  격월간

• pISSN

  1598-6284

• eISSN

  2508-1209

• 수록기간

  1999~2026

• 십진분류

  KDC 005 DDC 005