How explosive are cryptocurrency prices?

Marc Gronwald

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper revisits the issue of price explosiveness in cryptocurrency markets by analysing the prices of Bitcoin, XRP, Ether, and Litecoin not only expressed in US Dollars, but also the price of the latter three expressed in Bitcoin. There is strong evidence of explosive periods in cryptocurrency prices expressed in US Dollars, but also when XRP and Ether are expressed in Bitcoin. Whether or not these explosive periods can be interpreted as cryptocurrency bubbles requires a sufficient understanding of the fundamental value of cryptocurrencies. As this is currently insufficient, the term bubble should be used with more caution.

Keywords: Cryptocurrencies; Bubbles; Explosiveness; Fundamental value; Intrinsic value; Fiat money (search for similar items in EconPapers)
JEL-codes: C12 C22 E42 E52 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320303913

DOI: 10.1016/j.frl.2020.101603

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