Is the Bitcoin Rush Over?

Dominique Guegan () and Marius Frunza ()
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Dominique Guegan: UP1 - Université Paris 1 Panthéon-Sorbonne, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne, IPAG Business School, University of Ca’ Foscari [Venice, Italy]
Marius Frunza: Schwarzthal Kapital, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne

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Abstract: The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2014 and 2017.

Keywords: Bitcoin; crypto-currencies; bubbles; market efficiency; timeseries modeling (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-pay
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01822992v1
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Citations: View citations in EconPapers (6)

Published in 2018

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