Co-explosivity in the cryptocurrency market

Bouri, Elie; Shahzad, Syed Jawad Hussain; Roubaud, David

doi:10.1016/j.frl.2018.07.005

Cited by 265 publications

(157 citation statements)

References 14 publications

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“…Bitcoin is significant in explaining the other cryptocurrency price dynamics, but we found no strong evidence of an increase of its effect during explosive phases. Partly in contrast with what was found by Bouri et al (2019), Bitcoin was found to be quite highly affected by other cryptoassets, and shows a negative link with Ripple. The negative mutual effect of Bitcoin on Ripple increases in magnitude during bubble periods.…”

Section: Discussioncontrasting

confidence: 95%

“…First of all, our results show that several explosive periods occurred not only in Bitcoin, but also in other cryptoassets, reaching a similar conclusion to Bouri et al (2019).…”

Section: Discussionsupporting

confidence: 77%

“…Note that this analysis is similar to the one performed by Bouri et al (2019), who studied the probability of bubble occurrence through a logistic approach. We instead investigated the probability that a bubble bursts, conditional on the behavior of the other cryptocurrencies.…”

Section: Probability Of Bubble Burstmentioning

confidence: 63%

“…Indeed, the extremely rapid price increase, to which the definition of financial bubble refers to, can be described by an exponential growth, whose occurrence can be detected through the cited tests. Using quite common terminology (see, e.g., Steenkamp (2018) and Bouri et al (2019)) we employ the term "explosiveness", or "explosivity", to indicate an exponential growth of asset prices.…”

Section: Introductionmentioning

confidence: 99%

“…To our knowledge, addressing the issue of co-explosivity in the cryptocurrency market based on bubble tests is still nearly unexplored. Recently, Bouri et al (2019) applied the Phillips et al (2015) testing methodology to a set of cryptocurrencies and modeled the probability of a bubble occurrence in each of them as explained by the presence of bubbles in the others through logistic regression.…”

Section: Introductionmentioning

confidence: 99%

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Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market

Agosto

Cafferata

2020

Risks

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Cryptocurrencies have recently captured the interest of the econometric literature, with several works trying to address the existence of bubbles in the price dynamics of Bitcoins and other cryptoassets. Extremely rapid price accelerations, often referred to as explosive behaviors, followed by drastic drops pose high risks to investors. From a risk management perspective, testing the explosiveness of individual cryptocurrency time series is not the only crucial issue. Investigating co-explosivity in the cryptoassets, i.e., whether explosivity in one cryptocurrency leads to explosivity in other cryptocurrencies, allows indeed to take into account possible shock propagation channels and improve the prediction of market collapses. To this aim, our paper investigates the relationships between the explosive behaviors of cryptocurrencies through a unit root testing approach.

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Section: Discussioncontrasting

confidence: 95%

“…First of all, our results show that several explosive periods occurred not only in Bitcoin, but also in other cryptoassets, reaching a similar conclusion to Bouri et al (2019).…”

Section: Discussionsupporting

confidence: 77%

Section: Probability Of Bubble Burstmentioning

confidence: 63%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market

Agosto

Cafferata

2020

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Blockchain and Cryptocurrencies

Barde

2022

Emerging Computing Paradigms

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Do the Renminbi and Hong Kong dollar bubbles interact?

Cheng

et al. 2020

Int. J Fin Econ

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This paper applies the Generalized Supremum Augmented Dickey-Fuller (GSADF) approach to highlight the multiple exchange rate bubbles, and detect the interaction between Renminbi (RMB) and Hong Kong dollar (HKD) by logistic regression. The results illustrate that (I) there exists multiple bubbles in the RMB and HKD, and both shows the short-term period bubbles in the nominal exchange rates whereas performing the long-term period bubbles in the real exchange rates; (II) the exchange rate bubbles mainly existed during the financial crisis. The RMB bubbles occurred more in domestic financial crisis, while the HKD bubbles occurred in both domestic and international financial crisis; (III) there are interactions between bubbles in the RMB and HKD. Specifically, the bubbles in the nominal exchange rates of the RMB and HKD are reinforcing each other while the bubbles in the real exchange rates markets are mutually hedging; the nominal and real exchange rate market are mutually reinforcing regardless of the RMB or HKD. Furthermore, the strength of interactions between the RMB and HKD shows that the price of the HKD is more stable than that of the RMB.

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Co-explosivity in the cryptocurrency market

Cited by 265 publications

References 14 publications

Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market

Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market

Blockchain and Cryptocurrencies

Do the Renminbi and Hong Kong dollar bubbles interact?

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