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The Influence of the Bitcoin Price Change and the KOSPI on the Bull and bear Market of the Bitcoin Price
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비트코인 가격변화가 국면별로 주식시장에 미친 영향에 관한 연구

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Type
Academic journal
Author
Byung-Jin Yim (영남대학교)
Journal
The Institute of Knowledge Management, Chosun University JOURNAL OF CORPORATION AND INNOVATION Vol.42 No.2 KCI Accredited Journals
Published
2019.6
Pages
1 - 21 (21page)

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The Influence of the Bitcoin Price Change and the KOSPI on the Bull and bear Market of the Bitcoin Price
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This study is an empirical study on the mutual influence of the Bitcoin price and the stock market. In this study we used 417 daily data of the Bitcoin price and the Korea Stock Price Index(KOSPI) from September 7, 2016 to December 16, 2017 in bull market of the Bitcoin price and 417 daily data of the Bitcoin price and the Korea Stock Price Index(KOSPI) from December 16, 2017 to March 26, 2019 in bear market of the Bitcoin price. There are two indicators of the Bitcoin price and the KOSPI. We try to analyze the mutual influence and the causality between the Bitcoin price and the KOSPI.
We wish to analyze the extent of cross-influence. We employ impulse response function based on VAR model as well as variance decomposition after unit root tests and cointegration test.
This research showed following main results. First of all, raw time series data of the KOSPI has unit roots. Secondly, first differential data of the Bitcoin price and the KOSPI has no unit roots. Third, there is at least one cointegration between Bitcoin price and the KOSPI. Finally, the correlation between of the Bitcoin price and the KOSPI is (+) 0.7343354 at bull market of the Bitcoin price and (+) 0.751219 at bear market of the Bitcoin price. When we recognize with more price volatility than stock price, Bitcoin as a high-risk financial investment asset is considered as a hedge asset.
#비트코인가격 #종합주가지수 #주식시장 #상관관계 #VAR모형 #Bitcoin Price #Korea Stock Price Index #stock market #Correlation #VAR model

Contents

I. 서론
Ⅱ. 연구자료 및 연구모형
Ⅲ. 실증연구 결과분석
Ⅳ. 결론
참고문헌
Abstract

References (22)

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김명직 / 2002 / 금융시계열분석 / 경문사 google schola 양철원 / 2019 / 비트코인 가격의 결정요인: 한국시장에 대한 실증분석 / 한국증권학회지 48(4):393~415 Crossref 이준식 / 2018 / 비트코인 가격 변화에 관한 실증분석: 소비자, 산업, 그리고 거시변수를 중심으로 / 지능정보연구 24(2):195~220 dbpia 이홍재 / 2005 / EViews를 이용한 금융경제 시계열 분석 / 경문사 google schola 장성일 / 2017 / 비트코인의 자산성격에 관한 연구 / 한국전자거래학회지 22(4):117~128 dbpia

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