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...

Descripción completa

Detalles Bibliográficos
Autores: Michael Demmler, Amilcar Orlian Fernández Domínguez
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
id MX_f65361b1be3ce99bc322fd2e1a17b4ec
oai_identifier_str oai:redalyc.org:282174161006
network_acronym_str MX
network_name_str México
repository_id_str
spelling SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICESMichael DemmlerAmilcar Orlian Fernández DomínguezEconomía y FinanzasspeculationCryptocurrencyasset price bubbletime series analysisThis 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 Colombia2022info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdf0121-4772https://www.redalyc.org/articulo.oa?id=282174161006https://www.redalyc.org/journal/2821/282174161006/https://www.redalyc.org/journal/2821/282174161006/html/https://www.redalyc.org/journal/2821/282174161006/282174161006.epubhttps://www.redalyc.org/journal/2821/282174161006/movil10.15446/cuad.econ.v41n86.85391Cuadernos de Economía (Colombia) Num.86 Vol.XLIreponame:Redalyc-UAQinstname:Universidad Autónoma de Querétaroinstacron:UAQenhttp://www.redalyc.org/revista.oa?id=2821Cuadernos de Economíainfo:eu-repo/semantics/openAccessoai:redalyc.org:2821741610062024-08-23T16:20:34Z
dc.title.none.fl_str_mv SPECULATIVE BUBBLE TENDENCIES IN TIME SERIES OF BITCOIN MARKET PRICES
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
dc.creator.none.fl_str_mv Michael Demmler
Amilcar Orlian Fernández Domínguez
author Michael Demmler
author_facet Michael Demmler
Amilcar Orlian Fernández Domínguez
author_role author
author2 Amilcar Orlian Fernández Domínguez
author2_role author
dc.subject.none.fl_str_mv Economía y Finanzas
speculation
Cryptocurrency
asset price bubble
time series analysis
topic 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.
publishDate 2022
dc.date.none.fl_str_mv 2022
dc.type.none.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv 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
identifier_str_mv 0121-4772
10.15446/cuad.econ.v41n86.85391
url 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
dc.language.none.fl_str_mv en
language_invalid_str_mv en
dc.relation.none.fl_str_mv http://www.redalyc.org/revista.oa?id=2821
dc.rights.none.fl_str_mv Cuadernos de Economía
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Cuadernos de Economía
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad Nacional de Colombia
publisher.none.fl_str_mv Universidad Nacional de Colombia
dc.source.none.fl_str_mv Cuadernos de Economía (Colombia) Num.86 Vol.XLI
reponame:Redalyc-UAQ
instname:Universidad Autónoma de Querétaro
instacron:UAQ
instname_str Universidad Autónoma de Querétaro
instacron_str UAQ
institution UAQ
reponame_str Redalyc-UAQ
collection Redalyc-UAQ
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1858177701117952000
score 15,812429

Similares en LA Referencia