The Journal of Information Systems (한국정보시스템학회지:정보시스템연구)

Korea Association of Information Systems (한국정보시스템학회)
권호 표지
DOI QR코드

DOI QR Code

Measuring Return and Volatility Spillovers across Major Virtual Currency Market

주요 가상화폐 시장간 수익률 및 변동성 전이효과에 관한 연구

  • 유주현 (아주대학교 경영정보학과) ;
  • 강주영 (아주대학교 e-비즈니스학과) ;
  • 박상언 (경기대학교 경영정보전공)
  • Received : 2018.07.18
  • Accepted : 2018.09.26
  • Published : 2018.09.30
Download PDF
⟨ Previous Next ⟩

Abstract

Purpose Since the Bitcoin, which was the first virtual currency, was made at 2009, almost 1,000 virtual currencies appeared onstage in the world. Even though virtual currencies have the function of money as a medium of exchange or contract, any of those has not yet entered the commercialization stage. Instead, some of the virtual currencies show the nature of investment assets. In the case of virtual money investment, users tend to use all the information of the world because information transfer is very easy and capital movement is almost free between different countries. In addition, as the transaction sizes of virtual currencies increase, a virtual currency price is no longer independent and is likely to be affected by the prices of other virtual currencies. Therefore, it is necessary to understand the influence among virtual currency markets, which helps successful implementation of investment strategies. Design/methodology/approach This study focuses on the investment product function of virtual money and conducts the analysis using the time series model used in the financial and economic areas. In this paper, we try to analyze the return and volatility transfer effect of virtual money markets through GJR-GARCH model. Findings This study is expected to find out whether we can make market forecasts through reflecting changes in other markets. In addition, we can reduce the trial and error of user decision making by using the information on the yield and volatility transition effect derived from the research results, and it is expected to reduce the opportunity cost of users.

Keywords

References

  1. Ajinkya, B. B. and Jain, P. C., "The Behavior of Daily Stock Market Trading Volume," Journal of Accounting and Economics, Vol. 11, No. 4, 1989, pp. 331-359. https://doi.org/10.1016/0165-4101(89)90018-9
  2. Baek, C. and Elbeck, M., "Bitcoins as an Investment or Speculative Vehicle? A First Look," Applied Economics Letters, Vol. 22, No. 1, 2015, pp. 30-34. https://doi.org/10.1080/13504851.2014.916379
  3. Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Vol. 31, No. 3, 1986, pp. 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  4. Bouoiyour, J. and Selmi, R., "Bitcoin Price: Is It Really That New Round of Volatility Can Be on Way?," MPRA Paper No. 65580, 2015, Available: https://mpra.ub.uni-muenchen.de/65580/1/MPRA_paper_65580.pdf.
  5. Chan, N. H. and Zhang, R.-M., "Inference for Unit-Root Models with Infinite Variance Garch Errors," Statistica Sinica, Vol., 2010, pp. 1363-1393.
  6. Cheah, E.-T. and Fry, J., "Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin," Economics Letters, Vol. 130, 2015, pp. 32-36. https://doi.org/10.1016/j.econlet.2015.02.029
  7. Ciaian, P., Rajcaniova, M., and Kancs, d. A., "The Economics of Bitcoin Price Formation," Applied Economics, Vol. 48, No. 19, 2016, pp. 1799-1815. https://doi.org/10.1080/00036846.2015.1109038
  8. CoinMarketCap, Cryotocurrency Market Capitalization, Retrieved June 10, 2018, Available: https://coinmarketcap.com/.
  9. Dwyer, G. P., "The Economics of Bitcoin and Similar Private Digital Currencies," Journal of Financial Stability, Vol. 17, 2015, pp. 81-91. https://doi.org/10.1016/j.jfs.2014.11.006
  10. Dyhrberg, A. H., "Bitcoin, Gold and the Dollar-a Garch Volatility Analysis," Finance Research Letters, Vol. 16, 2016, pp. 85-92. https://doi.org/10.1016/j.frl.2015.10.008
  11. Engle, R. F. and Ng, V. K., "Measuring and Testing the Impact of News on Volatility," The Journal of Finance, Vol. 48, No. 5, 1993, pp. 1749-1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
  12. Eun, C. S. and Shim, S., "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Vol. 24, No. 2, 1989, pp. 241-256. https://doi.org/10.2307/2330774
  13. European Central Bank., "Virtual Currency Schemes," 2012.
  14. FBI., "Bitcoin Virtual Currency: Intelligence Unique Features Present Distinct Challenges for Deterring Illicit Activity," 2013.
  15. French, K. R. and Roll, R., "Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics, Vol. 17, No. 1, 1986, pp. 5-26. https://doi.org/10.1016/0304-405X(86)90004-8
  16. Glosten, L. R., Jagannathan, R., and Runkle, D. E., "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," The Journal of Finance, Vol. 48, No. 5, 1993, pp. 1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
  17. Gronwald, M., "The Economics of Bitcoins-Market Characteristics and Price Jumps," CESifo Working Paper Series, No. 5121, 2014, Available: https://ssrn.com/abstract=2548999.
  18. Hamao, Y., Masulis, R. W., and Ng, V., "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, Vol. 3, No. 2, 1990, pp. 281-307. https://doi.org/10.1093/rfs/3.2.281
  19. Horvath, R. and Poldauf, P., "International Stock Market Comovements: What Happened During the Financial Crisis?," Global Economy Journal, Vol. 12, No. 1, 2012,
  20. Koch, P. D. and Koch, T. W., "Evolution in Dynamic Linkages across Daily National Stock Indexes," Journal of International Money and Finance, Vol. 10, No. 2, 1991, pp. 231-251. https://doi.org/10.1016/0261-5606(91)90037-K
  21. Kouki, I. and Haque, M., "Volatility Transmission among Developed Stocks Markets," International Journal of Finance, Vol. 22, No. 1, 2010, pp. 6340.
  22. Koutmos, G. and Booth, G. G., "Asymmetric Volatility Transmission in International Stock Markets," Journal of International Money and Finance, Vol. 14, No. 6, 1995, pp. 747-762. https://doi.org/10.1016/0261-5606(95)00031-3
  23. Kristoufek, L., "What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis," PloS one, Vol. 10, No. 4, 2015, pp. e0123923.
  24. Nakamoto, S., "Bitcoin: A Peer-to-Peer Electronic Cash System," Unpublished manuscript, 2008, Available: https://Bitcoin.org/Bitcoin.pdf.
  25. Nelson, D. B., "Stationarity and Persistence in the Garch (1, 1) Model," Econometric Theory, Vol. 6, No. 3, 1990, pp. 318-334. https://doi.org/10.1017/S0266466600005296
  26. Ross, S. A., "Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," The Journal of Finance, Vol. 44, No. 1, 1989, pp. 1-17. https://doi.org/10.1111/j.1540-6261.1989.tb02401.x
  27. Schmidt, R., Mohring, M., Gluck, D., Haerting, R., Keller, B., and Reichstein, C., "Benefits from Using Bitcoin: Empirical Evidence from a European Country," International Journal of Service Science, Management, Engineering, and Technology, Vol. 7, No. 4, 2016, pp. 48-62. https://doi.org/10.4018/IJSSMET.2016100104
  28. Theodossiou, P. and Lee, U., "Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Vol. 16, No. 4, 1993, pp. 337-350. https://doi.org/10.1111/j.1475-6803.1993.tb00152.x
  29. US Goverment Accountability Office, "Virtual Economies and Currencies: Additional IRS Guidance Could Reduce Tax Compliance Risks," 2013, Available: https://www.gao.gov/products/GAO-13-516.
  30. 길재욱, "주가동조현상에 관한 연구," 재무관리연구, 제20권, 제2호, 2003, pp. 181-200.
  31. 김경원, 최준환, "한국주식시장과 중국주식시장의 정보이전효과 연구," 국제경영연구, 제17권, 제4호, 2006, pp. 31-49.
  32. 김동섭, "분산원장 기술과 디지털통화의 현황 및 시사점," 지급결제 조사자료, 제2권, 2016.
  33. 김석진, 포영영, 도영호, "한국, 중국 및 미국 주식시장의 동조화," 재무관리연구, 제28권, 제2호, 2011, pp. 1-23.
  34. 김원호, "Bit Coin, Bit Goin 디지털 화폐혁명, 비트코인을 아시나요?," 마케팅, 제48권, 제1호, 2014, pp. 9-14.
  35. 김인무, 김찬웅, "한국, 일본, 미국 주식시장의 정보전달," 한국증권학회지, 제28권, 제1호, 2001, pp. 481-513.
  36. 김정렬, 김상봉, "중국.미국.일본 주식시장에서 한국 주식시장으로의 비대칭적 변동성 이전효과 분석," 경제연구, 제26권, 2008, pp. 1-28.
  37. 남기연, "Bitcoin의 법적 가치에 관한 연구," 법학논총, 제38권, 제3호, 2014, pp. 523-547.
  38. 남주하, 김상봉, "미국 주식시장의 동아시아 주식시장으로의 비대칭적 변동성 이전효과 분석," 국제경제연구, 제9권, 제2호, 2003, pp. 119-148.
  39. 방승욱, "동북아 지역 주식 시장 간의 정보 이전 효과에 관한 연구," 동북아경제연구, 제15권, 제1호, 2003, pp. 1-20.
  40. 신동희, 김용문, "국내 소비자들의 비트코인 사용 의도에 영향을 미치는 요인 연구," 한국콘텐츠학회논문지, 제16권, 제1호, 2016, pp. 24-41. https://doi.org/10.5392/JKCA.2016.16.01.024
  41. 양지연, 김소희, 김윤정, "비트코인 취약점 및 현 대응방안의 한계 분석," 한국정보과학회 학술발표논문집, 2015, pp. 1013-1015.
  42. 이강, "비트코인에 관한 세법상 쟁점," 가천법학, 제7권, 제4호, 2014, pp. 163-193.
  43. 이동욱, "Garch 및 Gjr-Garch 모형을 이용한 국제자본시장간의 변동성전이효과-중국, 일본, 한국을 중심으로," 기업경영연구, 제16권, 제1호, 2009, pp. 137-148.
  44. 이혁준, 이수미, "비트코인의 신뢰구조와 이중 지불의 위협," 정보보호학회지, 제26권, 제2호, 2016, pp. 25-30.
  45. 이현정, "가상화폐의 금융법 규제에 관한 비교법적 검토-비트코인을 중심으로," 과학기술법연구, 제21권, 제3호, 2015, pp. 303-338.
  46. 정재만, 정태영, "한, 중 주식시장간 동조화는 강해지고 있는가?," 재무관리연구, 제27권, 제3호, 2010, pp. 119-149.
  47. 정진호, 임재옥, 제상영, "한국, 중국, 일본, 미국 주식시장의 변동성 이전과 상관관계 변화에 관한 비교 연구," 금융공학연구, 제11권, 제1호, 2012, pp. 1-16.
  48. 정진호, 임준형, "한국, 중국, 미국 주식시장 간 동조화 현상에 대한 연구," 국제지역연구, 제11권, 제3호, 2007, pp. 838-867.
  49. 지인엽, 전광명, "가상화폐와 인플레이션 헤지:비트코인 사례," 정보통신정책연구, 제23권, 제3호, 2016, pp. 31-50.