Cumulation, crash, coherency: A cryptocurrency bubble wavelet analysis

Wolfgang Fruehwirt, Leonhard Hochfilzer, Leonard Weydemann and Stephen Roberts

Finance Research Letters, 2021, vol. 40, issue C

Abstract: After its price peaked in 2017, Bitcoin lost almost half of its value in US Dollars within one month, which in turn is likely to have influenced the behaviour of market participants – many of who were lay investors. We hypothesize that after the peak, there was a structural change in the relationships between cryptocurrencies towards instability, as indicated by increased interdependence. We utilize wavelet coherence analysis of intraday data (5-minute resolution) to investigate the dynamics between a variety of cryptocurrencies in time-frequency space. Accompanied by visualizations depicting bubble dynamics, our robust and highly-significant quantitative results confirm our hypothesis.

Keywords: Cryptocurrencies; Intraday data; Wavelet coherence; Financial bubbles; Market psychology (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320303421
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320303421

DOI: 10.1016/j.frl.2020.101668

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().