This study aims to study about Bitcoin and analyze the relationship between the price and transaction volume of Bitcoin, the correlation between Bitcoin and major altcoins, and the relationship with assets which is currently on trade in the market.
First, as a result of analyzing the dynamic relationship between Bitcoin price and its transaction volume, there was a difference between the price and transaction due to time difference, but they became reason variables of each other. In the result of the shock response analysis, there was no mutual reaction, and in the analysis result of the variance decomposition, it came out to explain itself.
Second, the study looked at the result from analyzing the correlation between Bitcoin and major altcoins such as Ethereum, EOS, and Ripple. As a result of the analysis through the shock response function, Bitcoin showed a negative (-) continuous response to the Ethereum shock. On the other hand, EOS and Ripple showed a positive (+) reaction. Ethereum, EOS, and Ripple were affected by the impact of Bitcoin, and it was confirmed that the reaction was maintained with a positive (+) response. As a result of the variance decomposition analysis, Bitcoin was generally self-explanatory. In the case of other coins, it was confirmed that the explanatory power of Bitcoin was from 16% to 75%, and this study confirmed that the influence of Bitcoin in the cryptocurrency market is large.
Third, the causal relationship between Bitcoin and assets currently traded in the market, Nasdaq, Gold, Crude Oil, KOSPI, and KOSDAQ, was analyzed. Through the analysis, it was discovered that Bitcoin is the causal variable of the Nasdaq, crude oil, and KOSPI prices, and it was concluded that there is no mutual precedence or trailing relationship between gold and KOSDAQ. As a result of the impact response analysis, Bitcoin continued to show a positive response to the stock and futures shock after 1 hour. However, it was confirmed that they showed a negative (-) reaction to gold, revealing opposite characteristics. In response to the impact of Bitcoin, assets other than gold showed only a slight positive (+) reaction, and gold showed a negative (-) response. In the results of the variance decomposition analysis, Bitcoin and assets had mutual explanatory power. It was confirmed that the explanatory power of Bitcoin''s existing assets was higher.
Fourth, the study compared symmetric fluctuation and asymmetric fluctuation of Bitcoin, Nasdaq, Gold, Crude Oil, KOSPI, KOSDAQ through the TGARCH model. According to the overall period and market movement, the analysis was divided into three different periods. As a result, the symmetric volatility of Bitcoin was higher than that of existing assets. However, it turned out that it gradually decreased to the same level as the stock market as a result by period. It was confirmed that the asymmetric volatility was not high when compared to other assets, but rather the asymmetric volatility of the domestic stock market was greater. The results derived from this analysis can be thought of as a result of the fact that the cryptocurrency market fluctuates rapidly while operating 24 hours a day and is measured daily rather than reflected. It can also be said that Bitcoin has properties similar to stocks.
research on the domestic premium, which is the premium of cryptocurrencies in Korea, also needs to be conducted, and I think that better research will be done by analyzing the data when DB is created.