How is price explosivity triggered in the cryptocurrency markets?

Yuzhi Cai, Thanaset Chevapatrakul () and Danilo V. Mascia ()
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Thanaset Chevapatrakul: University of Nottingham
Danilo V. Mascia: University of Leeds

Annals of Operations Research, 2021, vol. 307, issue 1, No 3, 37-51

Abstract: Abstract We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin.

Keywords: Explosiveness; Cryptocurrencies; Bayesian methods; Quantile SETAR model (search for similar items in EconPapers)
JEL-codes: C21 C51 C53 C58 G12 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10479-021-04298-4

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