Journal of Information Technology Applications and Management

Korea Data Strategy Society (한국데이터전략학회)
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A Study on Bitcoin Yield Analysis

비트코인 수익률 분석에 관한 연구

  • Cho, Sang Sup (Hoseo University, Department of Mgt. of Digital Technology) ;
  • Chae, Dong Woo (Hoseo University, Department of Economics) ;
  • Lee, Jungmann (Hoseo University, Department of Mgt. of Digital Technology)
  • Received : 2022.03.21
  • Accepted : 2022.04.18
  • Published : 2022.04.28
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Abstract

Although the two types of currencies compete, the possibility of a virtual currency price bubble is diagnosed by assuming an economic model with currencies (won, virtual currency) that are intrinsically worthless. The won is supplied by the central bank to achieve the price stability target, while the supply of virtual currency increases by a fixed number. According to the basic price theory equation, as a simple proposition, cryptocurrency prices form a Martin Gale process [Schilling and Uhlig, 2019, p.20]. Based on the existing theoretical proposition, we applied the variance ratio verification method [Linton and Smetanina, 2016] and a simple technical chart method for empirical analysis. For the purpose of this study, the possibility of a bubble was empirically analyzed by analyzing the price volatility formed in the Korean virtual currency market over the past year, and brief policy implications for this were presented.

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References

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