SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES
This article explores the concepts of cryptocurrencies and speculative bubbles, as Bitcoin's price behaviour shares characteristics with speculative bubbles that have occurred in recent years. Using a quantitative research design, the study examines daily market prices for the period between 20...
| Autores: | , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | México |
| Institución: | Universidad Autónoma de Querétaro |
| Repositorio: | Redalyc-UAQ |
| OAI Identifier: | oai:redalyc.org:282174161006 |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=282174161006 https://www.redalyc.org/journal/2821/282174161006/ https://www.redalyc.org/journal/2821/282174161006/html/ https://www.redalyc.org/journal/2821/282174161006/282174161006.epub https://www.redalyc.org/journal/2821/282174161006/movil |
| Access Level: | acceso abierto |
| Palabra clave: | Economía y Finanzas speculation Cryptocurrency asset price bubble time series analysis |
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SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES Michael Demmler Amilcar Orlian Fernández Domínguez Economía y Finanzas speculation Cryptocurrency asset price bubble time series analysis This article explores the concepts of cryptocurrencies and speculative bubbles, as Bitcoin's price behaviour shares characteristics with speculative bubbles that have occurred in recent years. Using a quantitative research design, the study examines daily market prices for the period between 2013 and 2019. Statistical moments, return stationarity, TARCH-type model estimations and Supremum Augmented Dickey-Fuller and Generalised Supremum Augmented Dickey-Fuller tests are analysed. We find evidence for multiple speculative bubble tendencies in Bit-coin prices caused by speculation, which reached their maximum at the end of 2017. Our results are in line with recent studies, which characterise Bitcoin as both highly speculative and vulnerable to financial bubbles. Universidad Nacional de Colombia 0121-4772 https://www.redalyc.org/articulo.oa?id=282174161006 https://www.redalyc.org/journal/2821/282174161006/ https://www.redalyc.org/journal/2821/282174161006/html/ https://www.redalyc.org/journal/2821/282174161006/282174161006.epub https://www.redalyc.org/journal/2821/282174161006/movil 10.15446/cuad.econ.v41n86.85391 |
| title |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| spellingShingle |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES Michael Demmler Economía y Finanzas speculation Cryptocurrency asset price bubble time series analysis |
| title_short |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| title_full |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| title_fullStr |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| title_full_unstemmed |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| title_sort |
SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES |
| author |
Michael Demmler |
| author_facet |
Michael Demmler Amilcar Orlian Fernández Domínguez |
| author_role |
author |
| author2 |
Amilcar Orlian Fernández Domínguez |
| author2_role |
author |
| topic |
Economía y Finanzas speculation Cryptocurrency asset price bubble time series analysis |
| topic_facet |
Economía y Finanzas speculation Cryptocurrency asset price bubble time series analysis |
| description |
This article explores the concepts of cryptocurrencies and speculative bubbles, as Bitcoin's price behaviour shares characteristics with speculative bubbles that have occurred in recent years. Using a quantitative research design, the study examines daily market prices for the period between 2013 and 2019. Statistical moments, return stationarity, TARCH-type model estimations and Supremum Augmented Dickey-Fuller and Generalised Supremum Augmented Dickey-Fuller tests are analysed. We find evidence for multiple speculative bubble tendencies in Bit-coin prices caused by speculation, which reached their maximum at the end of 2017. Our results are in line with recent studies, which characterise Bitcoin as both highly speculative and vulnerable to financial bubbles. |
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2022 |
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article |
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publishedVersion |
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https://www.redalyc.org/articulo.oa?id=282174161006 https://www.redalyc.org/journal/2821/282174161006/ https://www.redalyc.org/journal/2821/282174161006/html/ https://www.redalyc.org/journal/2821/282174161006/282174161006.epub https://www.redalyc.org/journal/2821/282174161006/movil |
| identifier_str_mv |
0121-4772 10.15446/cuad.econ.v41n86.85391 |
| eu_rights_str_mv |
openAccess |
| publisher |
Universidad Nacional de Colombia |
| institution |
UAQ |
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Redalyc-UAQ |
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Redalyc-UAQ |
| instname_str |
Universidad Autónoma de Querétaro |
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1878410093558497280 |
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2022 |
| author_browse |
Amilcar Orlian Fernández Domínguez Michael Demmler |
| publisherStr |
Universidad Nacional de Colombia |
| score |
6,8972664 |