Kimchi premium and speculative trading in bitcoin

Yunsung Eom

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper examines whether cryptocurrency bubbles are loud. We focus on the relation between bitcoin prices and trading volume. Using bitcoin data from Korea and the US, we document that the elevated trading volume and price volatility can explain the ‘Kimchi premium’. In particular, as the bitcoin bubble grows, the relationship between trading volume and premium becomes clearer. This is consistent with the speculative bubble literature, which shows that the size of a bubble is positively related to trading volume. Our findings imply that fundamental uncertainty generates more dispersion in heterogeneous beliefs among investors and leads to high trading and to speculative bubbles.

Keywords: Kimchi premium; Bubbles; Bitcoin; Trading volume; Heterogeneous beliefs (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319301357
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319301357

DOI: 10.1016/j.frl.2020.101505

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().