 Bitcoin and the South Sea Company: A comparative analysisMichael Demmler () and Amilcar Orlian Fernández Domínguez () Revista Finanzas y Politica Economica, 2021, vol. 13, issue 1, 197-224 Abstract: This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble. Keywords: Bitcoin; cryptocurrency; financial bubble; financial risk; autoregressive model. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:col:000443:019660 Access Statistics for this article More articles in Revista Finanzas y Politica Economica from Universidad Católica de Colombia Contact information at EDIRC. |
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