Cryptocurrencies as financial bubbles: The case of Bitcoin

Julian Geuder, Harald Kinateder and Niklas Wagner

Finance Research Letters, 2019, vol. 31, issue C

Abstract: We study bubble behavior in Bitcoin prices during the years 2016 to 2018 based on two distinct testing methodologies. The Phillips et al. (2015) PSY methodology is used to identify multiple bubble periods. The log-periodic power law (LPPL) approach by Filimonov and Sornette (2013) identifies bubble growth and potential critical bubble termination times. Our results underline that bubble behavior is clearly a common and reoccurring characteristic of Bitcoin prices. A critical time point is identified to be December 6, 2017, after which neither approach provides evidence of ongoing bubble behavior.

Keywords: Bitcoin; Bubble periods; Cryptocurrencies; Explosive price behavior; Financial bubbles; Log-periodic power law (search for similar items in EconPapers)
JEL-codes: C22 C51 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306846

DOI: 10.1016/j.frl.2018.11.011

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