Is Bitcoin a bubble?

Chaim, Pedro; Laurini, Márcio Poletti

doi:10.1016/j.physa.2018.11.031

Cited by 118 publications

(53 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Geuder et al [45] use the Phillips et al [31] methodology, and suggest find that Bitcoin had several bubble periods in 2017, but since January 2018 this kind of behavior does not exist. Chaim and Laurini [46] verify that Bitcoin had bubble episodes in the period between early 2013 and mid-2014, but on the other hand, it did not have in 2017.…”

Section: Literature Reviewmentioning

confidence: 93%

Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods

Perifanis¹

2019

Energies

View full text Add to dashboard Cite

Oil prices have had considerable surges and bursts since the first oil crisis of 1973. Until then its price was stable, with almost zero volatility. Since then, apart from the two oil crises of 1973 and 1978/9, oil prices had consecutive bubble episodes like the surges up to 2008 and 2014 and their successive bursts, respectively. The trace of these bubble periods is of crucial importance for policymakers, since their drivers and consequences impact global economic developments. Phillips et al. and Phillips et al. methodologies are applied to detect whether West Texas Intermediate prices experienced bubble periods. Both methodologies suggest that WTI prices experienced explosive episodes, which could be fundamentally, speculatively, or politically attributed. Some suggested periods coincide for both methods, but the second methodology seems to be more sensitive than its predecessor is, leading to better bubble detection but also to identification of non-existent bubbles. The identified bubble periods are compared to relevant research in the literature concerning their presence, duration, and explosiveness. The main goal of the research, apart from the detection of bubbles’ presence and duration, is to identify the causal underlying reasons for each explosive episode. Further, we compare the start and endpoints of each bubble episode with time-points when structural changes occurred. The contribution of the paper is that it clearly defines the bubble episodes with their corresponding drivers. The paper identifies the importance of market fundamentals’ swifts in explaining the bubble periods. The findings of the papers can help policymakers and other stakeholders to monitor oil price shifts and their underlying reasons, and then proceed with prompt actions. Since bubble episodes are fundamentally explained, then the practical utility is that by focusing on the market fundamentals, stakeholders can avoid actions that could result in market failures.

show abstract

Section: Literature Reviewmentioning

confidence: 93%

Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods

Perifanis¹

2019

Energies

View full text Add to dashboard Cite

show abstract

“…Some studies analyzed bubbles in the cryptocurrency market. For example, Cheah and Fry (2015), Corbet et al (2018a) and Chaim and Laurini (2019) all found evidence of the possible existence of bubbles in cryptocurrencies.…”

Section: Literature Reviewmentioning

confidence: 99%

Contagion Effect in Cryptocurrency Market

Ferreira

Pereira

2019

JRFM

View full text Add to dashboard Cite

The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies’ prices showed a kind of bubble and a crash at the end of 2017. Based on this event, and on the fact that Bitcoin is the most recognized cryptocurrency, we propose to evaluate the contagion effect between Bitcoin and other major cryptocurrencies. Using the Detrended Cross-Correlation Analysis correlation coefficient (ΔρDCCA) and comparing the period after and before the crash, we found evidence of a contagion effect, with this particular market being more integrated now than in the past—something that should be taken into account by current and potential investors.

show abstract

“…The paper thus establishes a set of stylized facts on the cross-section of cryptocurrencies that can be used to assess and develop theoretical models. Chaim and Laurini (2019) analyze daily returns of bitcoin between January 2015 and March 2018 to empirically investigate the price bubble hypothesis. Bitcoin returns have characteristics one would expect of a bubble: it is very volatile, exhibits large kurtosis, and negative skewness (Camerer, 1989).…”

Section: Portfolio Diversificationmentioning

confidence: 99%

Understanding Cryptocurrencies*

Härdle

Harvey

Reule

2020

Journal of Financial Econometrics

135

View full text Add to dashboard Cite

Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own national cryptocurrency. In contrast to most data in financial economics, detailed data on the history of every transaction in the cryptocurrency complex are freely available. Furthermore, empirically oriented research is only now beginning, presenting an extraordinary research opportunity for academia. We provide some insights into the mechanics of cryptocurrencies, describing summary statistics and focusing on potential future research avenues in financial economics.

show abstract

Is Bitcoin a bubble?

Cited by 118 publications

References 30 publications

Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods

Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods

Contagion Effect in Cryptocurrency Market

Understanding Cryptocurrencies*

Contact Info

Product

Resources

About