자격시험 응시 시 기본적인 논문 Draft 1편 이상 제출

[2020-18] Information flow between bitcoin and other financial assets

  • 운영자
  • 날짜 2020.12.11
  • 조회수 174
[2020-18]
 
Information flow between bitcoin and other financial assets
 
Sangjin Park
Moon Soul Graduate School of Future Strategy, KAIST
 
Kwahngsoo Jang
Financial Supervisory Service
 
Jae-Suk Yang
Moon Soul Graduate School of Future Strategy, KAIST
 
 
Abstract
Since bitcoin launched in 2009, its popularity has soared, with global trading volume reaching 203.1 billion dollars as of August 2019. Given the trend that bitcoin is increasingly recognized as an investment asset, we analyzed its relationship with other financial assets. We found significant flows of information between bitcoin and exchange rates in most countries. Further, we observed a directional pattern in information flow according to the economic conditions in each country (i.e., developed and emerging markets). The results showed that bitcoin responded more strongly to the exchange rates and stocks in developed markets than in emerging markets.
 
Keywords
Transfer entropy, Information flow, Bitcoin, Financial assets
 

SNS Share 페이스북 공유하기트위터 공유하기카카오스토리 공유하기네이버 공유하기