Sungmin Jang

Mr. Sungmin Jang


Research Focus & Metrics

Academic Career Length

8Years (2019-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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14 November 2019 in Entropy
Verified
Journal Article
Open access
PDF file
SJSungmin Jang
Sungmin Jang
EYEojin Yi
Eojin Yi
Woo Chang KimWoo Chang Kim
Woo Chang Kim
KAKwangwon Ahn
Kwangwon Ahn
This paper studies the causal relationship between Bitcoin and other investment assets. We first test Granger causality and then calculate transfer entropy as an information-theoretic approach. Unlike the Granger causality test, we discover that transfer entropy clearly identifies causal interdependency between Bitcoin and other assets, including gold, stocks, and the U.S. dollar. However, for symbolic transfer entropy, the dynamic rise–fall pattern in return series shows an asymmetric information flow from other assets to Bitcoin. Our results imply that the Bitcoin market actively interacts with major asset markets, and its long-term equilibrium, as a nascent market, gradually synchronizes with that of other investment assets.