비트코인 현물과 선물시장 사이의 가격발견기능과 전이효과에 관한 연구
A Study on the Price Discovery Function and Spillover Effect between the Bitcoin Spot and Futures Markets
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본 연구는 비트코인 선물시장과 현물시장 간의 가격발견기능과 전이효과를 살펴본다. 전이효과에 관한 분석을 위해 구체적으로 VECM 모형과 이를 이용한 그랜저 인과관계를 분석하였으며, 분석의 강건성 확인을 위해 PDI(Price Discovery Index)를 통해 결과를 재확인한다. 이후 전이효과 분석을 위해 Spillover index를 통해 수익률 전이와 변동성 전이효과를 살펴본다. 이를 위한 변동성 산출은 DCC-GARCH(1,1) 모형을 이용한다. 비트코인 선물과 현물의 가격 변수에는 단위근이 존재하나 수익률 변수는 안정적인 것으로 나타났다. VECM 모형과 그랜저 인과관계 분석에서 현물시장과 선물시장 수익률 사이에는 양의 피드백적인 영향력을 미치고 있으나, 선물시장에 대한 현물시장의 영향력이 더 강한 것으로 나타났다. DCC-GARCH(1,1) 모형을 추정한 결과, 비트코인 선물과 현물시장 사이의 변동성은 동태적인 움직임을 보였다. 또한, Spillover index 전이효과의 크기는 현물에서 선물로 미치는 영향이 그 반대 방향보다 더 크게 나타났다. 이러한 결과는 비트코인 시장에 참여하는 투기거래, 헷지 거래자들의 투자전략 수립에 도움을 줄 것으로 기대한다.
Abstract
This study examines the price discovery function and transfer effect between the Bitcoin futures market and the spot market. To analyze the transfer effect, the VECM model and the Granger causal relationship using it were specifically analyzed, and the results were reconfirmed through PDI to confirm the robustness of the analysis. Afterwards, to analyze the transfer effect, we examine the effect of returns transfer and volatility transfer through the Spillover index. For this, the variability calculation uses the DCC-GARCH(1,1) model. It was found that there is a unit root in the price variables of futures and spot, but the yield variable is stable. Also, in the VECM model and the Granger causality relationship analysis, it was found that although there was a positive feedback effect between the spot market and the futures market return, the spot market had a stronger influence on the futures market. As a result of estimating the DCC-GARCH(1,1) model, it was found that conditional mean and volatility transfer effects exist between the futures market and the spot market. In addition, as for the magnitude of the spillover index transfer effect, the effect from spot to future was larger than the opposite direction. These results are expected to help in establishing investment strategies for speculative and hedging traders participating in the Bitcoin market.
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