Is the Bitcoin Rush Over?

Marius Cristian Frunza () and Dominique Guégan ()
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Marius Cristian Frunza: LabEx ReFi; Schwarzthal Kapital, France
Dominique Guégan: University Paris 1 Pantheon Sorbonne; Ca' Foscari University of Venice; IPAG Business School; LabEx ReFi

No 2018:10, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2014 and 2017.

Keywords: Bitcoin; crypto-currencies; bubbles; market efficiency; timeseries modeling (search for similar items in EconPapers)
JEL-codes: C2 C4 C5 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2018
New Economics Papers: this item is included in nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2018:10

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