Journal of Information Technology Applications and Management

Korea Data Strategy Society (한국데이터전략학회)
권호 표지
DOI QR코드

DOI QR Code

A Study on the Information Asymmetry among Cryptocurrency Traders

암호화폐 거래자 사이에 형성되는 정보 비대칭 현상에 관한 연구

  • Received : 2019.06.06
  • Accepted : 2019.06.21
  • Published : 2019.06.30
Download PDF
⟨ Previous Next ⟩

Abstract

As users' interests of cryptocurrency has been increased, investment volume of it also increases. In the cryptocurrency market, it cannot always be distributed homogenous information to all investors, similar to the stock market because it reflects the characteristics of a market microstructure. Cryptocurrency traders, thus, like stock investors, can experience the information asymmetry in the market and cannot but help to depend on private information. The purpose of this study is to estimate the trading intensity of informed traders and uninformed traders among cryptocurrency investors around the world based on PIN (Probability of Informed Trading). We have an aim to compare the difference of information asymmetry according to the ten types of cryptocurrency. The results of this study are expected to prevent the continuous increase of suspicious transactions related to cryptocurrency and contribute to the development of a sound cryptocurrency market.

Keywords

References

  1. Aitken, R., "Trump-Brexit' Factors Could Triple Bitcoin Transactions but Where's the Price Heading?", Forbes, Vol. 8, 2016.
  2. Akerlof, G. A., "The market for "lemons" : Quality uncertainty and the market mechanism", Uncertainty in Economics, 1978, pp. 235-251.
  3. Balcilar, M., Bouri, E., Gupta, R., and Roubaud, D., "Can volume predict Bitcoin returns and volatility? A quantilesbased approach", Economic Modelling, Vol. 64, 2017, pp. 74-81. https://doi.org/10.1016/j.econmod.2017.03.019
  4. Bariviera, A., "The inefficiency of Bitcoin revisited : A dynamic approach", Economics Letters, Vol. 161, 2017, pp. 1-4. https://doi.org/10.1016/j.econlet.2017.09.013
  5. Bernheim, B. D. and Wantz, A., "A taxbased test of the dividend signaling hypothesis", National Bureau of Economic Research, 1992.
  6. Brennan, M. and Kraus, A., "Efficient financing under asymmetric information", The Journal of Finance, Vol. 42, No. 5, 1987, pp. 1225-1243. https://doi.org/10.1111/j.1540-6261.1987.tb04363.x
  7. Catania, L. and Grassi, S., Modelling Crypto Currencies Financial Time-Series, CEIS Working Paper, No. 417, 2017.
  8. Chang, Y. and Jung, Y., "A Study on the Cryptocurrencies Investing Factors Using Technology Acceptance Model(TAM)", Global E-Business Association, Vol. 19, No. 2, 2018, pp. 139-158.
  9. Cheah, E. T. and Fry, J., "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin", Economics Letters, Vol. 130, 2015, pp. 32-36 https://doi.org/10.1016/j.econlet.2015.02.029
  10. Choe, H. and Yang, C. W., "Comparisons of information asymmetry measures in the Korean stock market", Asia-Pacific Journal of Financial Studies, Vol. 35, No. 5, 2006, pp. 1-44.
  11. Choi, M. S., "Is Information Priced in Closed-end Fund Discounts?", Journal of Business Research, Vol. 27, No. 1, 2012, pp. 173-199. https://doi.org/10.22903/JBR.2012.27.1.173
  12. Coinmarketcap, https://coinmarketcap.com/(2019. 02. 28).
  13. Collin-Dufresne, P. and Fos, V., "Do prices reveal the presence of informed trading?", The Journal of Finance, Vol. 70, No. 4, 2015, pp. 1555-1582. https://doi.org/10.1111/jofi.12260
  14. Connelly, B. L., Certo, S. T., Ireland, R. D., and Reutzel, C. R., "Signaling theory : A review and assessment", Journal of Management, Vol. 37, No. 1, 2011, pp. 39-67. https://doi.org/10.1177/0149206310388419
  15. Dennis, P. J. and Weston, J., "Who's informed? An analysis of stock ownership and informed trading", An Analysis of Stock Ownership Informed Trading, 2002.
  16. Dey, M. K. and Radhakrishna, B., "Informed trading, institutional trading, and spread", Journal of Economics and Finance, Vol. 39, No. 2, 2015, pp. 288-307. https://doi.org/10.1007/s12197-012-9249-4
  17. Donath, J., "Signals in social supernets", Journal of Computer-Mediated Communication, Vol. 13, No. 1, 2007, pp. 231-251. https://doi.org/10.1111/j.1083-6101.2007.00394.x
  18. Dyhrberg, A. H., "Bitcoin, gold and the dollar-A GARCH volatility analysis", Finance Research Letters, Vol. 16, 2016, pp. 85-92. https://doi.org/10.1016/j.frl.2015.10.008
  19. Easley, D. and O'hara, M., "Information and the cost of capital", The Journal of Finance, Vol. 59, No. 4, 2004, pp. 1553-1583. https://doi.org/10.1111/j.1540-6261.2004.00672.x
  20. Easley, D., De Prado, M. L., and O'Hara, M., "The microstructure of the flash crash : Flow toxicity, liquidity crashes and the probability of informed trading", Journal of Portfolio Management, Vol. 37, No. 2, 2011, pp. 118-128. https://doi.org/10.3905/jpm.2011.37.2.118
  21. Easley, D., Hvidkjaer, S., and O'hara, M., "Factoring information into returns", Journal of Financial Quantitative Analysis, Vol. 45, No. 2, 2010, pp. 293-309. https://doi.org/10.1017/S0022109010000074
  22. Easley, D., Hvidkjaer, S., and O'hara, M., "Is information risk a determinant of asset returns?", The Journal of Finance, Vol. 57, No. 5, 2002, pp. 2185-2221. https://doi.org/10.1111/1540-6261.00493
  23. Easley, D., Kiefer, N. M., O'hara, M., and Paperman, J. B., "Liquidity, information, and infrequently traded stocks", The Journal of Finance, Vol. 51, No. 4, 1996, pp. 1405-1436. https://doi.org/10.1111/j.1540-6261.1996.tb04074.x
  24. French, K. R. and Roll, R. J., "Stock return variances : The arrival of information and the reaction of traders", Journal of Financial Economics, Vol. 17, No. 1, 1986, pp. 5-26. https://doi.org/10.1016/0304-405X(86)90004-8
  25. Grullon, G., Michaely, R., Benartzi, S., and Thaler, R. H., "Dividend changes do not signal changes in future profitability", The Journal of Business, Vol. 78, No. 5, 2005, pp. 1659-1682. https://doi.org/10.1086/431438
  26. Howatt, B., Zuber, R. A., Gandar, J. M., and Lamb, R. P., "Dividends, earnings volatility and information", Applied Financial Economics, Vol. 19, No. 7, 2009, pp. 551-562. https://doi.org/10.1080/09603100802345397
  27. Huang, R. D. and Stoll, H. R., "The components of the bid-ask spread : A general approach", The Review of Financial Studies, Vol. 10, No. 4, 1997, pp. 995-1034. https://doi.org/10.1093/rfs/10.4.995
  28. Jang, S. I. and Kim, J. Y., "A Study on The Asset Characterization of Bitcoin", Journal of Society for e-Business Studies, Vol. 22, No. 4, 2018, pp. 117-128. https://doi.org/10.7838/jsebs.2017.22.4.117
  29. Javakhadze, D., Ferris, S. P., and Sen, N., "An international analysis of dividend smoothing", Journal of Corporate Finance, Vol. 29, 2014, pp. 200-220. https://doi.org/10.1016/j.jcorpfin.2014.09.007
  30. Jayaraman, S., "Earnings volatility, cash flow volatility, and informed trading", Journal of Accounting Research, Vol. 46, No. 4, 2008, pp. 809-851. https://doi.org/10.1111/j.1475-679X.2008.00293.x
  31. Johnson, B., Laszka, A., Grossklags, J., Vasek, M., and Moore, T., "Game-theoretic analysis of DDoS attacks against Bitcoin mining pools", Paper presented at International Conference on Financial Cryptography and Data Security, 2014.
  32. Jun, J. and Yeo, E., "Understanding Bitcoin : From the Perspective of Monetary Economics", Korea Business Review, Vol. 18, No. 4, 2014, pp. 211-239.
  33. Kim, J. C., "The market for "lemons" reconsidered : A model of the used car market with asymmetric information", The American Economic Review, Vol. 75, No. 4, 1985, pp. 836-843.
  34. Kirilenko, A., Kyle, A. S., Samadi, M., and Tuzun, T., "The flash crash : High-frequency trading in an electronic market", The Journal of Finance, Vol. 72, No. 3, 2017, pp. 967-998. https://doi.org/10.1111/jofi.12498
  35. Krombholz, K., Judmayer, A., Gusenbauer, M., and Weippl, E., "The other side of the coin : User experiences with bitcoin security and privacy", Paper presented at International Conference on Financial Cryptography and Data Security, 2016.
  36. Kumar, P. J., "Shareholder-manager conflict and the information content of dividends", The Review of Financial Studies, Vol. 1, No. 2, 1988, pp. 111-136. https://doi.org/10.1093/rfs/1.2.111
  37. Lee, H, and Cho, J., "A Study on Matters of Crypto-Currency", The Journal of Comparative Private Law, Vol. 25, No. 2, 2018, pp. 657-696.
  38. Lim, S., Hwang, G., and Cho, H., "Study on the effect of corporate ownership on information asymmetry", Korea International Accounting Review, Vol. 56, 2014, pp. 247-264.
  39. Lintner, J., "Distribution of incomes of corporations among dividends, retained earnings, and taxes", The American Economic Review, Vol. 46, No. 2, 1956, pp. 97-113.
  40. Liu, Y. and Tsyvinski, A., "Risks and returns of cryptocurrency", National Bureau of Economic Research, 2018.
  41. Madhavan, A., Richardson,M., andRoomans, M., "Why do security prices change? A transaction-level analysis of NYSE stocks", The Review of Financial Studies, Vol. 10, No. 4, 1997, pp. 1035-1064. https://doi.org/10.1093/rfs/10.4.1035
  42. Matta, M., Lunesu, I., and Marchesi, M., "Bitcoin Spread Prediction Using Social and Web Search Media", UMAP Workshops, 2015.
  43. Mavlanova, T., Benbunan-Fich, R., and Koufaris, M., "Signaling theory and information asymmetry in online commerce", Information & Management, Vol. 49, No. 5, 2012, pp. 240-247. https://doi.org/10.1016/j.im.2012.05.004
  44. Mishra, B. K. and Prasad, A., "Centralized pricing versus delegating pricing to the salesforce under information asymmetry", Marketing Science, Vol. 23, No. 1, 2004, pp. 21-27. https://doi.org/10.1287/mksc.1030.0026
  45. Mohanram, P. and Rajgopal, S., "Is PIN priced risk?", Journal of Accounting and Economics, Vol. 47, No. 3, 2009, pp. 226-243. https://doi.org/10.1016/j.jacceco.2008.10.001
  46. Moss, T. W., Neubaum, D. O., and Meyskens, M., "The effect of virtuous and entrepreneurial orientations on microfinance lending and repayment : A signaling theory perspective", Entrepreneurship Theory and Practice, Vol. 39, No. 1, 2015, pp. 27-52. https://doi.org/10.1111/etap.12110
  47. Nakamoto, S., Bitcoin : A peer-to-peer electronic cash system, Available at : https://bitcoin.org/bitcoin.pdf (Accessed 04 July, 2019), 2008.
  48. Ndofor, H. A. and Levitas, E., "Signaling the strategic value of knowledge", Journal of Management, Vol. 30, No. 5, 2004, 685-702. https://doi.org/10.1016/j.jm.2004.04.002
  49. Panagiotidis, T., Stengos, T., and Vravosinos, O., "On the determinants of bitcoin returns : A LASSO approach", Finance Research Letters, Vol. 27, 2018, pp. 235-240. https://doi.org/10.1016/j.frl.2018.03.016
  50. Partanen, C., "The viability of cryptocurrency in relation to the response of financial institutions and governments", Retrieved from https://core.ac.uk/download/pdf/161433418.pdf, 2018.
  51. Spence, M., "Job market signaling", Uncertainty in Economics, 1978, pp. 281-306.
  52. Spence, M., "Signaling in retrospect and the informational structure of markets", American Economic Review, Vol. 92, No. 3, 2002, pp. 434-459. https://doi.org/10.1257/00028280260136200
  53. Tay, A., Ting, C., Tse, Y. K., andWarachka, M., "Using high-frequency transaction data to estimate the probability of informed trading", Journal of Financial Econometrics, Vol. 7, No. 3, 2009, pp. 288-311. https://doi.org/10.1093/jjfinec/nbp005
  54. Tirole, J., The theory of industrial organization, MIT Press, 1988.
  55. Tschorsch, F. and Scheuermann, B., "Bitcoin and beyond : A technical survey on decentralized digital currencies", IEEE Communications Surveys & Tutorials, Vol. 18, No. 3, 2016, pp. 2084-2123. https://doi.org/10.1109/COMST.2016.2535718
  56. Walton, A. and Johnston, K., "Exploring Perceptions of Bitcoin Adoption : The South African Virtual Community Perspective", Interdisciplinary Journal of Information, Knowledge & Management, Vol. 13, 2018, pp. 165-182. https://doi.org/10.28945/4080
  57. Wei, W. C., "Essays on Information Asymmetry and Price Impact in Market Microstructure", Retrieved from https://ses.library.usyd.edu.au/handle/2123/9927, 2013.
  58. Yan, Y. and Zhang, S., "An improved estimation method and empirical properties of the probability of informed trading", Journal of Banking & Finance, Vol. 36, No. 2, 2012, pp. 454-467. https://doi.org/10.1016/j.jbankfin.2011.08.003
  59. Yelowitz, A. and Wilson, M., "Characteristics of Bitcoin users : An analysis of Google search data", Applied Economics Letters, Vol. 22, No. 13, 2015, pp. 1030-1036. https://doi.org/10.1080/13504851.2014.995359
  60. Zetzsche, D. A., Buckley, R. P., Arner, D. W., and Fohr, L. J., "The ICO Gold Rush : It's a scam, it's a bubble, it's a super challenge for regulators", UNSW Law Research Paper No. 17-83.
  61. Zhu, Y., Dickinson, D., and Li, J., "Analysis on the influence factors of Bitcoin's price based on VEC model", Financial Innovation, Vol. 3, No. 1, 2017, p. 1-13. https://doi.org/10.1186/s40854-016-0051-8