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가상화폐 시장의 양적 성장이 허딩현상에 미친 영향

Effect of Quantitative Growth of the Cryptocurrency Market on Herding Phenomenon

강상훈|남유상
한국재무관리학회 (Korea Financial Management Association)|2022.02|재무관리연구 (THE KOREAN JOURNAL OF FINANCIAL MANAGEMENT)|제39권 제1호|pp. 63-96|DOI 10.22510/kjofm.2022.39.1.003

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가상화폐비트코인CryptocurrencyAltcoinHerdingCSAD알트코인허딩Bitchoin
주제분류경영학

초록

본 연구는 가상화폐 시장의 양적 성장으로 인해 시장에 존재하는 허딩현상의 변화를 분석하였다. 허딩현상의 분석을 위해 1651개의 가상화폐 일별 자료를 이용하였으며, 분석 방법은 CSAD를 이용하였다. 허딩현상의 분석에 있어서, 기간별 분석뿐만 아니라, 개별코인을 시가총액, 거래금액, 대륙별 대표거래소에 등록 여부를 확인한 코인에 한정하여, 메이저 코인과 마이너 코인으로 분리하여 분석하였으며, 허딩현상의 추종 대상을 개별 시장의 평균 수익률과 가상화폐 시장에서 비중이 가장 높은 비트코인의수익률을 동시에 검증하였다. 분석결과를 살펴보면, 허딩현상은 가상화폐 시장의 성장에 맞물려, 약해짐을 확인할 수 있었고, 추종의 대상으로는 비트코인 수익률이 아닌 자신이 속해 있는 시장의수익률임을 알 수 있었다. 오히려, 비트코인 수익률에 대해서는 anti-herding이 나타남에 따라 비트코인의수익률은 시장을 성장시키는데 주요한 요인이지만, 알트코인에게 있어서는 위험 회피 대상으로인식된다고 할 수 있다. 마지막으로 허딩현상을 나타낼 수 있는 투자심리 요소로 거래금액과 변동성을이용한 허딩현상을 분석한 결과, 허딩현상은 거래금액과 변동성의 증가에 대해서 유의한 허딩현상을보여주었다. 허딩현상은 가상화폐의 성장에 맞물려 약해지지만, 특정 상황에서는 여전히 유효한 모습을보여준다는 것을 알 수 있다

Abstract

This study analyzed the presence of the herding phenomenon the cryptocurency markets due to quantitative growth in the cryptocurrency market. To analyze the herding effect, this study considered daily 1,651 cryptocurrency data by using the cross-sectional absolute deviation (CSAD) approach. In addition to period-by-period analysis, individual coins were separated into major coins and minor coins, and the average yield of the individual market and the most significant Bitcoin in the cryptocurrency market were verified. Looking at the analysis results, it was confirmed that the herding phenomenon was weakening in line with the growth of the cryptocurrency market, and that the target of the follow-up was not the Bitcoin yield, but the return on the market that he belonged to. Rather, as anti-herding appears for Bitcoin yields, Bitcoin’s yield is a major factor in growing the market, but for Altcoin, it is recognized as a risk-averse object. Finally, the analysis of the herding using transaction amounts and volatility as investor sentiment factors that could indicate the herding phenomenon showed significant herding about the increase in transaction amounts and volatility. It can be seen that the herding phenomenon weakens in line with the growth of the Cryptocurrency market, but still show significant performance in certain situations.

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