Bubbles in the virtual finance: an application of the Phillips-Wu-Yu (2011) methodology on the bitcoin price

Myriam Ben Osman and Kamel Naoui

American Journal of Finance and Accounting, 2021, vol. 6, issue 3/4, 284-296

Abstract: This paper aims to detect the existence of speculative bubbles in the bitcoin US price by using a year by year ADF test, initiated by Dickey and Fuller (1981), and SADF test, initiated by Phillips et al. (2011). Over the period 2011-2020, we detect several episodes of bubbles during specific times of our study period but most importantly we detect a huge bubble in 2017 and 2019.

Keywords: speculative bubbles; crypto-currency; bitcoin; augmented Dickey-Fuller ADF; SADF; virtual finance; virtual bubbles. (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:amerfa:v:6:y:2021:i:3/4:p:284-296

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