Is the Kimchi premium a speculative bubble?

Hyunmin Ok, Jinyong Kim, Yongsik Kim

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

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.

Original languageEnglish
Article number104207
JournalFinance Research Letters
Volume57
DOIs
StatePublished - Nov 2023

Keywords

  • Bubble
  • Kimchi premium
  • Time-varying coefficients
  • Trading volume
  • Volatility

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