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Is the Kimchi premium a speculative bubble?

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Listed:
  • Ok, Hyunmin
  • Kim, Jinyong
  • Kim, Yongsik

Abstract

This study investigates whether the Kimchi premium, the phenomenon in which the Bitcoin price in Korea is persistently higher than the United States price, reflects a speculative bubble. Eom (2021) argued that the Kimchi premium is a bubble, evidenced by its positive relationship with trading volume and price volatility estimated from unconditional regressions. We re-examine this evidence by estimating and testing time-varying coefficients using nonparametric regressions and bootstrap confidence intervals. Our results show that the positive relationship is not robust over time, suggesting that we do not yet have clear evidence to conclude that the Kimchi premium is a bubble.

Suggested Citation

  • Ok, Hyunmin & Kim, Jinyong & Kim, Yongsik, 2023. "Is the Kimchi premium a speculative bubble?," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005792
    DOI: 10.1016/j.frl.2023.104207
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    References listed on IDEAS

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    1. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
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    5. Lee, Jangyoun & Oh, Taehee, 2022. "The Kimchi premium and bitcoin-cashing outlets," Finance Research Letters, Elsevier, vol. 50(C).
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    Cited by:

    1. Borri, Nicola & Shakhnov, Kirill, 2023. "Cryptomarket discounts," Journal of International Money and Finance, Elsevier, vol. 139(C).

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    More about this item

    Keywords

    Kimchi premium; Bubble; Trading volume; Volatility; Time-varying coefficients;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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