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주요 가상화폐 시장간 수익률 및 변동성 전이효과에 관한 연구
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Publication Year
2018-09
Journal
정보시스템연구
Publisher
한국정보시스템학회
Citation
정보시스템연구, Vol.27 No.3, pp.43-62
Keyword
Virtual Currency MarketReturn SpilloverVolatility SpilloverCryptocurrency
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. <br>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. <br>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.
ISSN
1229-8476
Language
Kor
URI
https://aurora.ajou.ac.kr/handle/2018.oak/34880
DOI
https://doi.org/10.5859/KAIS.2018.27.3.43
Type
Article
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Kang, Ju Young Image
Kang, Ju Young강주영
Department of Business Intelligence
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