Explosive behavior in the prices of Bitcoin and altcoins

Efe Cagli

Finance Research Letters, 2019, vol. 29, issue C, 398-403

Abstract: In this paper, we investigate explosive behavior in the prices of Bitcoin and seven other altcoins: Ethereum, Ripple, Litecoin, Stellar, Nem, Dash, and Monero. We analyze the daily prices of these cryptocurrencies between September 2015 and January 2018 using the new “explosive process framework” of Chen et al. (2017). We find that all cryptocurrencies other than Nem exhibit explosive behavior and reveal significant pairwise co-movement relationships among the explosive cryptocurrencies. In particular, we detect statistically significant bilateral co-explosive relationships at the 10% level or better between the following pairs: Bitcoin–Dash, Ethereum–Litecoin, Ethereum–Dash, Ethereum–Monero, and Ripple–Stellar.

Keywords: Explosiveness; Bubble; Cryptocurrency; Bitcoin; Altcoin; Double asymptotic theory (search for similar items in EconPapers)
JEL-codes: C58 G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:398-403

DOI: 10.1016/j.frl.2018.09.007

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