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Arbitrage opportunities induced from differences in relative price of assets between exchanges
Journal of the Korean Data & Information Science Society 2019;30:45-56
Published online January 31, 2019;
© 2019 Korean Data and Information Science Society.

Yeonggyu Yun1 · Gunhee Cho2 · Hye-Young Jung3

12Department of Economics, Seoul National University
3Faculty of Liberal Education, Seoul National University
Correspondence to: Associate teaching professor, Faculty of Liberal Education, 1 Gwanak-ro, Gwanak-gu, Seoul National University, Seoul 08826, Korea. E-mail:
Received December 26, 2018; Revised January 12, 2019; Accepted January 12, 2019.
This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License ( which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
In this research we study arbitrage opportunities induced from different relative prices of cryptocurrencies between exchanges. We conduct multiple regression to verify if conventional market frictions limit arbitraging in cryptocurrency markets. Our result reveals the volatility of relative prices is the most significant limit to arbitrage; as relative price of Etherium and Bitcoin became less volatile, the arbitrage opportunity gradually disappeared. Moreover, by adding the volatility of cryptocurrency price in KRW as an additional independent variable, we show that the investors appear to have not taken the actual currency value into account when exploiting arbitrage opportunities. We conclude that arbitraging in cryptocurrency market could be partially attributed to what conventional finance theories define as a rational investment, while some irrationality is observed as well. Therefore we suggest that a thorough valuation of the cryptocurrencies should be carried out before imposing regulation of any kind.
Keywords : Arbitrage, cryptocurrency, market efficiency, regression.