This paper investigates the dynamic price movements of cryptocurrency market in Korea by employing asymmetric DCC multivariate GARCH and risk decomposition model to reflect the time-varying integration process. We find that the law of one price does not hold between Korean and developed markets like U.S. and Japan, implying that emerging cryptocurrency market can be a scapegoat of arbitragers. Moreover, our analyses indicate that the pricing in Korea is mostly based on domestic factors rather than global factors. Finally, we show that this arbitrage opportunity in Korean market is disappeared after a government regulation. This suggests that a suitable regulation is important to eliminate bubbles.

Keywords: Cryptocurrency, Bitcoin, Dynamic Price Movement, Bubble, Regulation.