Investigating Price Bubbles in Cryptocurrencies

Sefa Mete, Ayben Koy and Hicabi Ersoy

Journal of BRSA Banking and Financial Markets, 2019, vol. 13, issue 1, 105-120

Abstract: While blockchain systems are taking place in the financial sector with new products in various fields of use, crypto coins, one of the prominent products of this system, continue to search for their price and value. Similar signs of price increases in crypto currencies and subsequent collapses starting from the second quarter of 2017 started to be seen again in the first quarter of 2019. The existence of speculative bubbles in Bitcoin (BTC) which is the first crypto currency (coin) of the crypto currency market, and the bubbles in the Ethereum (ETH) and Ripple (XRP) which are the currencies having highest volume of transactions folowing BTC, are tested by Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) methodologies. The results show that BTC is especially open to speculative movements with price bubbles formed between 2013 to 2014, 2017 to 2018 and 2019, ETH between 2013 to 2016 and 2017 to 2018, and XRP between 2014 to 2015 and 2017 to 2018.

Keywords: Cryptocurrencies; Bitcoin; SADF; GSADF; Price Bubbles (search for similar items in EconPapers)
JEL-codes: G15 G40 (search for similar items in EconPapers)
Date: 2019
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