Abstract
This study investigates whether the Kimchi premium, the phenomenon in which the Bitcoin price in Korea is persistently higher than the United States price, reflects a speculative bubble. Eom (2021) argued that the Kimchi premium is a bubble, evidenced by its positive relationship with trading volume and price volatility estimated from unconditional regressions. We re-examine this evidence by estimating and testing time-varying coefficients using nonparametric regressions and bootstrap confidence intervals. Our results show that the positive relationship is not robust over time, suggesting that we do not yet have clear evidence to conclude that the Kimchi premium is a bubble.
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