The Kimchi Premium—the persistent price wedge between Bitcoin on Korean and global exchanges—has resisted standard no-arbitrage explanations for over seven years, raising the question of how macro-financial shocks transmit into this segmented market. Prior work relies on static, linear estimators applied over short lag horizons, leaving the timing, nonlinearity, and regime dependence of the Premium’s adjustment largely untested. We address this gap using daily data from December 2017 to December 2025 (T=2105) and rolling windows of 60, 120, and 240 trading days. Linear dynamics are tested with Granger causality (GC) and—because our return series are strongly leptokurtic (Bitcoin excess kurtosis =7.29, S we therefore read the detection-rate evidence as descriptive of localized, crisis-dependent transmission episodes rather than as panel-level rejection of pointwise non-causality, and the paper’s contribution is accordingly positioned at the level of channel ranking, lag structure, and regime decomposition rather than at the level of blanket causality claims. Crisis decomposition shows transmission is concentrated in the ETF-Halving regime (29.8% mean GC detection) and below 4% during the Terra–Luna (2.9%) and Russia–Ukraine (3.6%) episodes. The findings situate the Premium as a stationary error-correction term whose adjustment is dominated by exchange-rate and commodity channels rather than U.S. equities, with implications for arbitrage models, regulatory monitoring, and information-flow analyses of segmented crypto markets.
Insu Choi (Wed,) studied this question.
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