Author : Chanho Yee(Bank of Korea)

<Abstract>

This paper examines intraday linkages between equity-market information windows and the Korean cryptocurrency market. Using hourly Upbit data for Bitcoin and Ethereum, matched to S&P 500 and KOSPI returns, I show that cryptocurrency trading activity and return volatility rise during scheduled equity market hours, especially during U.S. market hours. Cryptocurrency returns, trading volume, and return volatility are more strongly associated with contemporaneous S&P 500 return innovations than with KOSPI return innovations, and local projections indicate that these associations are concentrated within the same hour. To interpret these findings, I develop a model of cross-market learning and liquidity timing in which equity and cryptocurrency prices share exposure to a common global component. The evidence suggests that continuous cryptocurrency trading does not imply informational independence from scheduled equity markets.