Browse > Article
http://dx.doi.org/10.21219/jitam.2019.26.3.029

A Study on the Information Asymmetry among Cryptocurrency Traders  

Park, Minjung (Ewha Womans University)
Cha, Sangmi (Department of Business, Ewha Womans University)
Publication Information
Journal of Information Technology Applications and Management / v.26, no.3, 2019 , pp. 29-41 More about this Journal
Abstract
As users' interests of cryptocurrency has been increased, investment volume of it also increases. In the cryptocurrency market, it cannot always be distributed homogenous information to all investors, similar to the stock market because it reflects the characteristics of a market microstructure. Cryptocurrency traders, thus, like stock investors, can experience the information asymmetry in the market and cannot but help to depend on private information. The purpose of this study is to estimate the trading intensity of informed traders and uninformed traders among cryptocurrency investors around the world based on PIN (Probability of Informed Trading). We have an aim to compare the difference of information asymmetry according to the ten types of cryptocurrency. The results of this study are expected to prevent the continuous increase of suspicious transactions related to cryptocurrency and contribute to the development of a sound cryptocurrency market.
Keywords
Bitcoin; Blockchain; Cryptocurrency; Information Asymmetric; Probability of Informed Trading (PIN); Signaling Theory;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
1 Aitken, R., "Trump-Brexit' Factors Could Triple Bitcoin Transactions but Where's the Price Heading?", Forbes, Vol. 8, 2016.
2 Akerlof, G. A., "The market for "lemons" : Quality uncertainty and the market mechanism", Uncertainty in Economics, 1978, pp. 235-251.
3 Balcilar, M., Bouri, E., Gupta, R., and Roubaud, D., "Can volume predict Bitcoin returns and volatility? A quantilesbased approach", Economic Modelling, Vol. 64, 2017, pp. 74-81.   DOI
4 Bariviera, A., "The inefficiency of Bitcoin revisited : A dynamic approach", Economics Letters, Vol. 161, 2017, pp. 1-4.   DOI
5 Bernheim, B. D. and Wantz, A., "A taxbased test of the dividend signaling hypothesis", National Bureau of Economic Research, 1992.
6 Brennan, M. and Kraus, A., "Efficient financing under asymmetric information", The Journal of Finance, Vol. 42, No. 5, 1987, pp. 1225-1243.   DOI
7 Catania, L. and Grassi, S., Modelling Crypto Currencies Financial Time-Series, CEIS Working Paper, No. 417, 2017.
8 Chang, Y. and Jung, Y., "A Study on the Cryptocurrencies Investing Factors Using Technology Acceptance Model(TAM)", Global E-Business Association, Vol. 19, No. 2, 2018, pp. 139-158.
9 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   DOI
10 Connelly, B. L., Certo, S. T., Ireland, R. D., and Reutzel, C. R., "Signaling theory : A review and assessment", Journal of Management, Vol. 37, No. 1, 2011, pp. 39-67.   DOI
11 Dennis, P. J. and Weston, J., "Who's informed? An analysis of stock ownership and informed trading", An Analysis of Stock Ownership Informed Trading, 2002.
12 Dey, M. K. and Radhakrishna, B., "Informed trading, institutional trading, and spread", Journal of Economics and Finance, Vol. 39, No. 2, 2015, pp. 288-307.   DOI
13 Donath, J., "Signals in social supernets", Journal of Computer-Mediated Communication, Vol. 13, No. 1, 2007, pp. 231-251.   DOI
14 Dyhrberg, A. H., "Bitcoin, gold and the dollar-A GARCH volatility analysis", Finance Research Letters, Vol. 16, 2016, pp. 85-92.   DOI
15 Easley, D. and O'hara, M., "Information and the cost of capital", The Journal of Finance, Vol. 59, No. 4, 2004, pp. 1553-1583.   DOI
16 Jang, S. I. and Kim, J. Y., "A Study on The Asset Characterization of Bitcoin", Journal of Society for e-Business Studies, Vol. 22, No. 4, 2018, pp. 117-128.   DOI
17 Grullon, G., Michaely, R., Benartzi, S., and Thaler, R. H., "Dividend changes do not signal changes in future profitability", The Journal of Business, Vol. 78, No. 5, 2005, pp. 1659-1682.   DOI
18 Howatt, B., Zuber, R. A., Gandar, J. M., and Lamb, R. P., "Dividends, earnings volatility and information", Applied Financial Economics, Vol. 19, No. 7, 2009, pp. 551-562.   DOI
19 Huang, R. D. and Stoll, H. R., "The components of the bid-ask spread : A general approach", The Review of Financial Studies, Vol. 10, No. 4, 1997, pp. 995-1034.   DOI
20 Javakhadze, D., Ferris, S. P., and Sen, N., "An international analysis of dividend smoothing", Journal of Corporate Finance, Vol. 29, 2014, pp. 200-220.   DOI
21 Coinmarketcap, https://coinmarketcap.com/(2019. 02. 28).
22 Kirilenko, A., Kyle, A. S., Samadi, M., and Tuzun, T., "The flash crash : High-frequency trading in an electronic market", The Journal of Finance, Vol. 72, No. 3, 2017, pp. 967-998.   DOI
23 Krombholz, K., Judmayer, A., Gusenbauer, M., and Weippl, E., "The other side of the coin : User experiences with bitcoin security and privacy", Paper presented at International Conference on Financial Cryptography and Data Security, 2016.
24 Kumar, P. J., "Shareholder-manager conflict and the information content of dividends", The Review of Financial Studies, Vol. 1, No. 2, 1988, pp. 111-136.   DOI
25 Choe, H. and Yang, C. W., "Comparisons of information asymmetry measures in the Korean stock market", Asia-Pacific Journal of Financial Studies, Vol. 35, No. 5, 2006, pp. 1-44.
26 Choi, M. S., "Is Information Priced in Closed-end Fund Discounts?", Journal of Business Research, Vol. 27, No. 1, 2012, pp. 173-199.   DOI
27 Collin-Dufresne, P. and Fos, V., "Do prices reveal the presence of informed trading?", The Journal of Finance, Vol. 70, No. 4, 2015, pp. 1555-1582.   DOI
28 Easley, D., Hvidkjaer, S., and O'hara, M., "Is information risk a determinant of asset returns?", The Journal of Finance, Vol. 57, No. 5, 2002, pp. 2185-2221.   DOI
29 Easley, D., De Prado, M. L., and O'Hara, M., "The microstructure of the flash crash : Flow toxicity, liquidity crashes and the probability of informed trading", Journal of Portfolio Management, Vol. 37, No. 2, 2011, pp. 118-128.   DOI
30 Easley, D., Hvidkjaer, S., and O'hara, M., "Factoring information into returns", Journal of Financial Quantitative Analysis, Vol. 45, No. 2, 2010, pp. 293-309.   DOI
31 Easley, D., Kiefer, N. M., O'hara, M., and Paperman, J. B., "Liquidity, information, and infrequently traded stocks", The Journal of Finance, Vol. 51, No. 4, 1996, pp. 1405-1436.   DOI
32 Kim, J. C., "The market for "lemons" reconsidered : A model of the used car market with asymmetric information", The American Economic Review, Vol. 75, No. 4, 1985, pp. 836-843.
33 Jayaraman, S., "Earnings volatility, cash flow volatility, and informed trading", Journal of Accounting Research, Vol. 46, No. 4, 2008, pp. 809-851.   DOI
34 Johnson, B., Laszka, A., Grossklags, J., Vasek, M., and Moore, T., "Game-theoretic analysis of DDoS attacks against Bitcoin mining pools", Paper presented at International Conference on Financial Cryptography and Data Security, 2014.
35 Jun, J. and Yeo, E., "Understanding Bitcoin : From the Perspective of Monetary Economics", Korea Business Review, Vol. 18, No. 4, 2014, pp. 211-239.
36 French, K. R. and Roll, R. J., "Stock return variances : The arrival of information and the reaction of traders", Journal of Financial Economics, Vol. 17, No. 1, 1986, pp. 5-26.   DOI
37 Liu, Y. and Tsyvinski, A., "Risks and returns of cryptocurrency", National Bureau of Economic Research, 2018.
38 Lee, H, and Cho, J., "A Study on Matters of Crypto-Currency", The Journal of Comparative Private Law, Vol. 25, No. 2, 2018, pp. 657-696.
39 Lim, S., Hwang, G., and Cho, H., "Study on the effect of corporate ownership on information asymmetry", Korea International Accounting Review, Vol. 56, 2014, pp. 247-264.
40 Lintner, J., "Distribution of incomes of corporations among dividends, retained earnings, and taxes", The American Economic Review, Vol. 46, No. 2, 1956, pp. 97-113.
41 Madhavan, A., Richardson,M., andRoomans, M., "Why do security prices change? A transaction-level analysis of NYSE stocks", The Review of Financial Studies, Vol. 10, No. 4, 1997, pp. 1035-1064.   DOI
42 Matta, M., Lunesu, I., and Marchesi, M., "Bitcoin Spread Prediction Using Social and Web Search Media", UMAP Workshops, 2015.
43 Mavlanova, T., Benbunan-Fich, R., and Koufaris, M., "Signaling theory and information asymmetry in online commerce", Information & Management, Vol. 49, No. 5, 2012, pp. 240-247.   DOI
44 Panagiotidis, T., Stengos, T., and Vravosinos, O., "On the determinants of bitcoin returns : A LASSO approach", Finance Research Letters, Vol. 27, 2018, pp. 235-240.   DOI
45 Mishra, B. K. and Prasad, A., "Centralized pricing versus delegating pricing to the salesforce under information asymmetry", Marketing Science, Vol. 23, No. 1, 2004, pp. 21-27.   DOI
46 Mohanram, P. and Rajgopal, S., "Is PIN priced risk?", Journal of Accounting and Economics, Vol. 47, No. 3, 2009, pp. 226-243.   DOI
47 Moss, T. W., Neubaum, D. O., and Meyskens, M., "The effect of virtuous and entrepreneurial orientations on microfinance lending and repayment : A signaling theory perspective", Entrepreneurship Theory and Practice, Vol. 39, No. 1, 2015, pp. 27-52.   DOI
48 Nakamoto, S., Bitcoin : A peer-to-peer electronic cash system, Available at : https://bitcoin.org/bitcoin.pdf (Accessed 04 July, 2019), 2008.
49 Ndofor, H. A. and Levitas, E., "Signaling the strategic value of knowledge", Journal of Management, Vol. 30, No. 5, 2004, 685-702.   DOI
50 Partanen, C., "The viability of cryptocurrency in relation to the response of financial institutions and governments", Retrieved from https://core.ac.uk/download/pdf/161433418.pdf, 2018.
51 Spence, M., "Job market signaling", Uncertainty in Economics, 1978, pp. 281-306.
52 Spence, M., "Signaling in retrospect and the informational structure of markets", American Economic Review, Vol. 92, No. 3, 2002, pp. 434-459.   DOI
53 Tay, A., Ting, C., Tse, Y. K., andWarachka, M., "Using high-frequency transaction data to estimate the probability of informed trading", Journal of Financial Econometrics, Vol. 7, No. 3, 2009, pp. 288-311.   DOI
54 Tirole, J., The theory of industrial organization, MIT Press, 1988.
55 Zetzsche, D. A., Buckley, R. P., Arner, D. W., and Fohr, L. J., "The ICO Gold Rush : It's a scam, it's a bubble, it's a super challenge for regulators", UNSW Law Research Paper No. 17-83.
56 Tschorsch, F. and Scheuermann, B., "Bitcoin and beyond : A technical survey on decentralized digital currencies", IEEE Communications Surveys & Tutorials, Vol. 18, No. 3, 2016, pp. 2084-2123.   DOI
57 Walton, A. and Johnston, K., "Exploring Perceptions of Bitcoin Adoption : The South African Virtual Community Perspective", Interdisciplinary Journal of Information, Knowledge & Management, Vol. 13, 2018, pp. 165-182.   DOI
58 Wei, W. C., "Essays on Information Asymmetry and Price Impact in Market Microstructure", Retrieved from https://ses.library.usyd.edu.au/handle/2123/9927, 2013.
59 Yan, Y. and Zhang, S., "An improved estimation method and empirical properties of the probability of informed trading", Journal of Banking & Finance, Vol. 36, No. 2, 2012, pp. 454-467.   DOI
60 Yelowitz, A. and Wilson, M., "Characteristics of Bitcoin users : An analysis of Google search data", Applied Economics Letters, Vol. 22, No. 13, 2015, pp. 1030-1036.   DOI
61 Zhu, Y., Dickinson, D., and Li, J., "Analysis on the influence factors of Bitcoin's price based on VEC model", Financial Innovation, Vol. 3, No. 1, 2017, p. 1-13.   DOI