@article{ART002549675},
author={Yang, Cheol Won},
title={A Study on the Arbitrage Trading Using the Price Difference of Bitcoin},
journal={Asset Management Review},
issn={2288-6672},
year={2019},
volume={7},
number={2},
pages={1-20},
doi={10.23007/amr.2019.7.2.1}
TY - JOUR
AU - Yang, Cheol Won
TI - A Study on the Arbitrage Trading Using the Price Difference of Bitcoin
JO - Asset Management Review
PY - 2019
VL - 7
IS - 2
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 20
SN - 2288-6672
AB - This paper analyzes the law of one price and the possibility of arbitrage trading through the representative crypto-currency, Bitcoin. First, we examine the difference in price of Bitcoin between Korea and US, namely, the existence and size of ‘Kimchi Premium’. Second, after establishing three hypotheses such as market segmentation by rational motivation or psychology of investors, and limit of arbitrage hypothesis, we analyze the factors that determine the difference of domestic and foreign price of Bitcoin. As a result of analysis, psychology variables such as Google trend index difference, Naver trend index, and variables related limit of arbitrage such as transaction cost and Mempool transaction number are statistically significant. The above results support psychological market segmentation hypothesis or limit of arbitrage hypothesis.
This means that the surge of interest and the hot wind of Bitcoin in Korea causes the KRW price to rise abnormally. Also, there are limit of arbitrage that can not resolve the difference in domestic and overseas prices quickly.
KW - Bitcoin;Law of One Price;Arbitrage Profit;Market Segmentation;Psychological Factors.
DO - 10.23007/amr.2019.7.2.1
ER -
Yang, Cheol Won. (2019). A Study on the Arbitrage Trading Using the Price Difference of Bitcoin. Asset Management Review, 7(2), 1-20.
Yang, Cheol Won. 2019, "A Study on the Arbitrage Trading Using the Price Difference of Bitcoin", Asset Management Review, vol.7, no.2 pp.1-20. Available from: doi:10.23007/amr.2019.7.2.1
Yang, Cheol Won "A Study on the Arbitrage Trading Using the Price Difference of Bitcoin" Asset Management Review 7.2 pp.1-20 (2019) : 1.
Yang, Cheol Won. A Study on the Arbitrage Trading Using the Price Difference of Bitcoin. 2019; 7(2), 1-20. Available from: doi:10.23007/amr.2019.7.2.1
Yang, Cheol Won. "A Study on the Arbitrage Trading Using the Price Difference of Bitcoin" Asset Management Review 7, no.2 (2019) : 1-20.doi: 10.23007/amr.2019.7.2.1
Yang, Cheol Won. A Study on the Arbitrage Trading Using the Price Difference of Bitcoin. Asset Management Review, 7(2), 1-20. doi: 10.23007/amr.2019.7.2.1
Yang, Cheol Won. A Study on the Arbitrage Trading Using the Price Difference of Bitcoin. Asset Management Review. 2019; 7(2) 1-20. doi: 10.23007/amr.2019.7.2.1
Yang, Cheol Won. A Study on the Arbitrage Trading Using the Price Difference of Bitcoin. 2019; 7(2), 1-20. Available from: doi:10.23007/amr.2019.7.2.1
Yang, Cheol Won. "A Study on the Arbitrage Trading Using the Price Difference of Bitcoin" Asset Management Review 7, no.2 (2019) : 1-20.doi: 10.23007/amr.2019.7.2.1
