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A Study on the Price Discovery of Bitcoin Futures
No full text2017년 12월, CBOE와 CME는 XBT와 BTC를 출시하였다.이 두 종류의 비트코인 선물은 출시와 동시에 많은 관심을 받았지만, 이후의 두 상품의 발전 및 진행과정은 매우 다르고, 둘 사이의 가격 발견은 연구할 가치가 있다.
이 논문은 XBT와 BTC의 일일 데이터를 이용하여 연구를 진행하였으며, 4개의 암호화폐 가격 담합 조사 보도 자료를 세분화하여 샘플 1과 샘플 2로 나누고 전체 샘플 데이터와 비교 분석하였다. 첫째, 논문은 XBT와 BTC의 안정성과 공통합 관계를 검증하였다. 그레인저 인과관계 분석을 통해 XBT와 BTC 가 서로 그레인저 요인임을 알아냈다. 다음에는 논문은 벡터 자기회귀 모델을 사용하여 XBT와 BTC의 선행-시차 관계를 검증한다. 전체 표본의 검사 결과에 따르면 BTC는 XBT에 더욱 강한 영향을 주며 새로운 금리의 발견에 대한 BTC의 반응속도가 더욱 빠르며 BTC는 가격발견에서 주도적인 역할을 한다. 소표본의 검사결과에서 샘플1의 검사결과는 XBT 가 비교적 강한 인도 작용을 나타냈음을 설명할 수 있다. 반면에 샘플2의 검사 결과는 BTC 가 가격 발견에서 주도적인 역할을 나타낸다는 것을 보여주었다. 또한 본 논문은 가격발견에 대한 XBT와 BTC의 기여도를 정보할당모형을 이용하여 측정하였다. 그 결과 전체 샘플에서 XBT와 BTC 정보의 쿼터가 각각 48.35%와 51.65%로 BTC 정보의 쿼터가 더 큰 것으로 나타나 BTC의 가격 발견 능력이 더 강함을 나타냈다. 본 논문은 하위 표본의 정보 할당량을 추정했는데 샘플 1의 XBT와 BTC 정보 할당량은 각각 51.81%와 48.19%로, XBT 가 가격 발견 과정에서 큰 역할을 했음을 시사한다. 샘플2에서 XBT와 BTC의 정보 할당량은 각각 46.39%와 53.61%로 BTC 가 더 높은 가격 발견 능력을 보였다.
또한 두 비트코인의 가격 발견 능력에 영향을 미치는 요인을 탐구하였다. 일일정보할당량을 설명변수로 회귀모형을 만들어 거래량, 매매차익, 변동성, 투자심리, 주가지수 및 가격조작 조사 발표가 거래소 선물 가격발견 기여도에 미치는 영향을 탐구하였다. 그 결과 거래량은 가격발견능력에 현저한 촉진작용이 있음을 발견하였으며 이는 활발정도가 높을수록 시장가격발견능력이 강함을 증명하였다. 동시에 변동성은 비트코인 선물 시장에 큰 부정적인 영향을 미치는데 이는 변동성이 클수록 시장에 노이즈 거래가 더 많이 존재할 수 있으며 가격 발견 기능이 더 약하다는 것을 의미한다. 가격조작 조사의 뉴스발표는 BTC 시장의 가격발견능력을 크게 촉진시켰지만 XBT 시장의 가격발견능력을 약화시켰다.
키워드： 비트코인 선물, 가격발견, 정보점유율|In December 2017, CBOE and CME listed bitcoin futures XBT and BTC respectively. They gained extensive attention but had different development. The price discovery between them is worth studying.
This paper usesfive-minute closing prices of XBT and BTC. Based on the news release event of the price manipulation investigation of four cryptocurrency exchanges, the data is divided into sample 1 and sample 2. XBT and BTC are tested to be cointegrated, and the Granger Causality Test shows a two-way Granger causality relationship. Then this paper uses the Vector Autoregressive Model to test the lead-lag relationship.
The result of the full sample shows that BTC absorbs new information faster and leads the price discovery. In sample 1, XBT has a stronger price discovery function. On the contrary, BTC plays a leading role in sample 2. The Information Share Model is used to estimate the price discovery contribution ratio. The information shares of XBT and BTC in the full sample are 48.35% and 51.65% respectively, implying that the price discovery of BTC is stronger. In sample 1, the information shares are 51.81% and 48.19%, indicating a stronger price discovery function of XBT. In sample 2, the information shares are 46.39% and 53.61%, showing that BTC has a stronger influence.
This paper also explores the determinants of price discovery. Daily information shares are used as the dependent variable. The independent variables are trading volume, bid-ask spread, volatility, investor sentiment, stock price index and the dummy variable of the manipulation investigation news. The trading volume significantly promotes the price discovery. The volatility has a significant negative impact. The news release of price manipulation investigation significantly makes the price discovery ability of BTC stronger.
Key words: bitcoin futures; price discovery; information share제 1 장 서론 1
1.1 연구 배경 1
1.2 연구 의의와 목적 3
1.2.1 연구 의의 3
1.2.2 연구 목적 5
1.3 선행연구 6
1.4 연구 내용과 진행 13
제 2 장 이론적 배경 16
2.1 가격 발견 16
2.2 비트코인 선물 19
2.2.1 비트코인과 그 거래 시장 19
2.2.2 비트코인 선물 계약 소개 20
2.2.3 비트코인 선물 발전 개요 23
2.3 비트코인 선물 가격의 발견에 대한 이론적 해석 24
2.3.1 현재 시장 가격 선도 - 정체 관계 24
2.3.2 가격 발견의 실현 26
2.3.3 가격 발견에 미치는 영향요인 28
2.3.3.1 미시적 요소 28
2.3.3.2 거시적 요소 30
제 3 장 실증 과정과 결과에 대한 분석 32
3.1 데이터 선택과 설명 32
3.2 단위 루트 및 공적본의 검정 33
3.3 그랜저 인과 관계 테스트 37
3.4 VAR 모델 구축 38
3.5 실증분석 결과 40
제 4 장 연구 결론과 계시 42
4.1 연구결과 42
4.2 사시점 44
4.3 전망 46
참고문헌 48Maste
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Author Under Sail The Imagination of Jack London, 1893-1902
No full textIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Intro -- Title Page -- Copyright Page -- Dedication -- Contents -- Acknowledgments -- Introduction -- 1. Spirit Truth -- 2. From Absorption to Theatricality and Back Again -- 3. "I Will Build a New Present" -- 4. Sons as Authors -- 5. Fathers as Publishers -- 6. The Daughter as Author -- 7. Lovers as Authors -- 8. At Sea with the Family -- 9. Yellow News, Yellow Stories -- 10. The Return Home -- Notes -- Bibliography -- Index -- About Jay WilliamsIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Description based on publisher supplied metadata and other sources.Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, YYYY. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
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