Bitcoin is it a Bubble? Evidence from Unit Root Tests

Malhotra, Akash; Maloo, Mayank

doi:10.2139/ssrn.2476378

Cited by 14 publications

(8 citation statements)

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“…Earlier contributions have dealt with the period prior to 2015. A case in point is the study by Malhotra and Maloo () who provide evidence of explosive behaviour in the bitcoin to USD exchange rate during November 2013 to February 2014. Our results are in line with the studies of Cheah and Fry () and Malhotra and Maloo ().…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

“…A case in point is the study by Malhotra and Maloo () who provide evidence of explosive behaviour in the bitcoin to USD exchange rate during November 2013 to February 2014. Our results are in line with the studies of Cheah and Fry () and Malhotra and Maloo (). Furthermore, our results from both tests suggest that around the first quarter of 2017, bitcoin seemed to be heading in a classic bubble territory.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

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Bitcoin: The Road to Hell Is Paved With Good Promises

Vogiazas

Alexiou

2018

Economic Notes

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In this paper, by using econometric techniques we provide evidence that bitcoin exhibited the formation of speculative bubble in 2017. To conceptually rationalize the results, we delve into the extant theoretical approaches developed by Kindleberger's (1978) speculative bubbles and Minsky's (1992) financial instability hypothesis. Certainly, bitcoin has spurred a revolution in payment technology that, if treated cautiously can facilitate financial intermediation and inclusion. Ultimately, whether or not bitcoin constitutes a bubble is a decision for investors as the road to hell is paved with good promises.

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Section: Empirical Results and Discussionmentioning

confidence: 99%

Section: Empirical Results and Discussionmentioning

confidence: 99%

Bitcoin: The Road to Hell Is Paved With Good Promises

Vogiazas

Alexiou

2018

Economic Notes

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“…Shahbaz et al, 2014;Öztürk and Aslan, 2014;Yilanci and Tunali, 2014;Lean and Smyth, 2014;Gozgor, 2016), price bubbles (e.g. Malhotra and Maloo, 2014), outputs of the countries (e.g. Guloglu and Ivrendi, 2008;Suresh, 2016), economic growth of the countries (e.g.…”

Section: 5 (1) 31-45mentioning

confidence: 99%

DO SHOCKS HAVE PERMANENT OR TRANSITORY EFFECTS ON CONTAINER TRAFFIC IN TURKISH PORTS? / Şokların Türk Limanlarındaki Konteyner Trafiği Üzerindeki Etkisi Kalıcı Mıdır Geçici Midir?

Açık

2021

Uluslararası Ekonomi İşletme Ve Politika Dergisi

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Container ports are one of the most important parts of the supply chain. Due to high investment and operating costs, the structure and predictability of current and future demands are very important. To investigate this structure, this study aims to determine whether the shocks to the export and import container quantities handled in Turkish ports are temporary or permanent. Both standard unit root tests and unit root tests with structural breaks were applied to export and import container amounts. According to the results, when the structural breaks are considered, it has been determined that both export and import container quantities are stationary. This situation shows that the effects of the shocks to the container traffic are temporary, the applied policies lose their effect in a short time and the future container traffic can be predicted using historical data.

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“…Motivated by empirical evidences (see for example [21,22]), we discuss a generalization of the model introduced in Section 3.1, which is capable to describe speculative bubbles in Bitcoin markets.…”

Section: The Presence Of Model Stock Bubblesmentioning

confidence: 99%

Modeling Bitcoin Price and Bubbles

Cretarola¹,

Figà‐Talamanca²

2019

Blockchain and Cryptocurrencies

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The goal of this chapter is to present recent developments about Bitcoin 1 price modeling and related applications. Precisely, we consider a bivariate model in continuous time to describe the behavior of Bitcoin price and of the investors' attention on the overall network. The attention index affects Bitcoin price through a suitable dependence on the drift and diffusion coefficients and a possible correlation between the sources of randomness represented by the driving Brownian motions. The model is fitted on historical data of Bitcoin prices, by considering the total trading volume and the Google Search Volume Index as proxies for the attention measure. Moreover, a closed formula is computed for European-style derivatives on Bitcoin. Finally, we discuss two possible extensions of the model. Precisely, we investigate the relation between the correlation parameter and possible bubble effects in the asset price; further, we consider a multivariate framework to represent the special feature of Bitcoin being traded on several exchanges and we discuss conditions to rule out arbitrage opportunities in this setting.

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Bitcoin is it a Bubble? Evidence from Unit Root Tests

Cited by 14 publications

References 0 publications

Bitcoin: The Road to Hell Is Paved With Good Promises

Bitcoin: The Road to Hell Is Paved With Good Promises

DO SHOCKS HAVE PERMANENT OR TRANSITORY EFFECTS ON CONTAINER TRAFFIC IN TURKISH PORTS? / Şokların Türk Limanlarındaki Konteyner Trafiği Üzerindeki Etkisi Kalıcı Mıdır Geçici Midir?

Modeling Bitcoin Price and Bubbles

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