The Structural Shifts in Bitcoin’s Role as a Predictor of the KOSPI Index
The Structural Shifts in Bitcoin’s Role as a Predictor of the KOSPI Index
- 한국APEC학회
- Journal of APEC Studies
- Vol.15 No.2
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2023.1287 - 102 (16 pages)
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DOI : 10.52595/jas.15.2.87
- 25
This paper explores the efficiency of the KOSPI market by examining its predictability, with a focus on the influence of Bitcoin returns during non-trading hours. Utilizing predictive models incorporating many financial assets, we find a significant predictive value in the Bitcoin return for the KOSPI return. We also identify a gradual structural break in the KOSPI-Bitcoin relationship, a shift from traditional market efficiency paradigms. This gradual transition, influenced by recent economic and regulatory changes, underscores potential arbitrage opportunities.
Ⅰ. Introduction
Ⅱ. Preliminary analysis
Ⅲ. Structural break in return predictability
Ⅳ. Intermarket News Flow: Bitcoin to KOSPI
Ⅴ. Concluding Remarks
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