A Simple Approach to Assess if a Financial ¡°Bubble¡± is Present: The Case of Bitcoin

Vitor M. A. da Fonseca and Manuel A. R. da Fonseca

Applied Economics and Finance, 2019, vol. 6, issue 4, 1-10

Abstract: This article¡¯s goal is to evaluate if the recent price behavior of Bitcoin can be characterized as a financial market ¡°bubble¡±. To deal with this assessment, we adopt a statistical definition of a ¡°bubble¡± derived from the efficient market hypothesis and we propose a simple method to test this proposition, based on the time-series model known as random walk. We analyze the data available for Bitcoin prices, together with an asset selected as benchmark, and perform statistical tests derived from simple regression equations. The main conclusion is that there is consistent evidence that that Bitcoin follows the pattern of a financial ¡°bubble¡± ¨C at least, such pattern is more evident in the case of Bitcoin than in the stock index used as benchmark.

Keywords: Bitcoin; ¡°bubbles¡± in financial markets; time series models; statistical regression analysis (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://redfame.com/journal/index.php/aef/article/view/4266/4435 (application/pdf)
http://redfame.com/journal/index.php/aef/article/view/4266 (text/html)

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:rfa:aefjnl:v:6:y:2019:i:4:p:1-10

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().