 Bitcoin: Bubble that bursts or Gold that glitters?Rocco Caferra, Gabriele Tedeschi and Andrea Morone Economics Letters, 2021, vol. 205, issue C Abstract: This paper aims to shed light on the 2017 Bitcoin bubble. Firstly, by applying the dynamic time warping algorithm, we identify among several financial instruments a subsample of five assets with similar characteristics to the cryptocurrency bubble. Interestingly, among the fluctuations characterizing these assets, the algorithm shows a close affinity between the Bitcoin bubble and the 2000 NASDAQ Dotcom one. Once the subsample is identified, we study the (de)synchronization among these assets via the wavelet coherence approach. Although Bitcoin is poorly correlated with the other indices, given its scarce connection with the real economy, we observe switching phenomena among these instruments. A more careful study on these portfolio reallocations, conducted via an event study analysis, reveals that traders seem to redirect capital from stock markets and gold to Bitcoin in case of positive events of the cryptocurrency. Keywords: Cryptocurrencies; Bubbles; Assets synchronization; Hedging (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:eee:ecolet:v:205:y:2021:i:c:s0165176521002196 DOI: 10.1016/j.econlet.2021.109942 Access Statistics for this article Economics Letters is currently edited by Economics Letters Editorial Office More articles in Economics Letters from Elsevier |
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