Currency of Future or a Balloon Only: Bitcoin

Zeren, Feyyaz; Esen, Sinan

doi:10.31795/baunsobed.437741

Cited by 7 publications

(3 citation statements)

References 3 publications

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“…The sample starting point r 1 changes between r 0 to 1. It is shown as the ADF statistics of a sample ranging from 0 to r 2 (Zeren and Esen, 2018). Figure 1 below shows the GSADF process in the context of floating windows in the sample range (Caspi, 2013).…”

Section: Methodsmentioning

confidence: 99%

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Analyzing Multiple Bubbles in the Usdkzt Exchange Rate Using the Gsadf Test

Ural¹

2021

ERJ

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Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, we performed GSADF test by using weekly closing prices of the nominal exchange rate for the period between 23.08.2015 to 04.04.2021. In line with the empirical findings obtained, two explosive bubbles are detected in 2018 and 2020 when USDKZT exchange rate deviates from fundamental value. Our ﬁndings suggest that due to the possibility of bubble repetition, GSADF has been verified to be a better test for detecting bubbles.

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Section: Methodsmentioning

confidence: 99%

“…Studies investigating price bubbles in cryptocurrencies using the GSADF test: Cheung et al (2015), Landgraf (2016), Wei (2017), Corbet et al (2018), Bouri et al (2018), Ceylan et al (2018), Zeren and Esen (2018), Su et al (2018), Mete et al (2019), Hepkorucu and Genc (2019), Enoksen et al ( 2020) can be specified as Sahin (2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing Multiple Bubbles in the Usdkzt Exchange Rate Using the Gsadf Test

Ural¹

2021

ERJ

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“…Many studies on price bubbles which have significant impacts on financial markets, have been carried out in recent years. The studies have been generally focused on four topics as studies on stock markets (Diba and Grossman, 1988;Phillips et al, 2013;Harvey et al, 2015;Phillips et al, 2015;Caspi and Graham, 2018) studies on real estate markets (Hessel and Peeters, 2011;Scherbina, 2013;Zeren and Erguzel, 2015;Abildgren et al, 2018) studies on the commodity markets that will be explained in detail below and other financial assets (Korkmaz et al, 2016;Ceylan et al, 2018;Zeren and Esen, 2018). The studies of Flood and Garber (1980) and Blanchard and Watson (1982) are among the pioneering studies on financial bubbles.…”

Section: Literature Reviewmentioning

confidence: 99%

Emti̇a Pi̇yasalarinda Rasyonel Balonlar Ve Volati̇li̇te Yayilimlarinin Araştirilmasi: Değerli̇ Metallerden Kanitlar

Çelik

Akkuş

Gülcan

2019

Mehmet Akif Ersoy Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Price bubbles which can be expressed as the deviation of the price of an asset from its fundamental value, have significant impacts on markets. The effects of the financial crisis that started with the burst of the housing bubbles in the USA in 2008 have spread all over the world and turned into a global crisis. In this study, the price bubbles of gold, silver, platinum and palladium in the commodity markets for the period between 01.01.2010-19.02.2019 were investigated. RtADF, SADF and GSADF methods were used to determine the formation and burst periods of price bubbles. As a result of the analysis, price bubbles were found in gold, silver and platinum, whereas no bubbles were found in palladium prices. Due to the close formation dates of these bubbles, whether there was any return or volatility spillover between gold, silver and platinum markets was investigated with VAR-EGARCH method. As a result of the study, it was found that there was a multiple spillover between the gold, silver and platinum returns. Thus, it was concluded that the price bubbles formed in precious metals triggered each other. Findings regarding the presence of price bubbles in the precious metal markets are crucial for traders in terms of trading timing. However, the findings related to the volatility spillover among precious metals are also important in terms of considering the effect of this spillover for the investors who provide hedging by precious metals.

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Examination of Price Bubbles in Cryptocurrencies: An Application for the Pre-pandemic and During COVID-19 Period

Kayral

2021

İnsan Ve Toplum Bilimleri Araştırmaları Dergisi

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Currency of Future or a Balloon Only: Bitcoin

Cited by 7 publications

References 3 publications

Analyzing Multiple Bubbles in the Usdkzt Exchange Rate Using the Gsadf Test

Analyzing Multiple Bubbles in the Usdkzt Exchange Rate Using the Gsadf Test

Emti̇a Pi̇yasalarinda Rasyonel Balonlar Ve Volati̇li̇te Yayilimlarinin Araştirilmasi: Değerli̇ Metallerden Kanitlar

Examination of Price Bubbles in Cryptocurrencies: An Application for the Pre-pandemic and During COVID-19 Period

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