Datestamping the Bitcoin and Ethereum bubbles
By Shaen Corbet, Brian M. Lucey, L. Yarovaya. Finance Research Letters, 2017
628 citations recorded by the source corpus.
We examine the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the (Phillips et al., 2011) methodology. In contrast to previous papers, we examine the fundamental drivers of the price. Having derived ratios that are economically and computationally sensible, we use these variables to detect and datestamp bubbles. Our conclusion is that there are periods of clear bubble behaviour, with Bitcoin now almost certainly in a bubble phase.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/2e36e7fde43e2cfc99dfe0c9f70a9cfee969f299
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Shaen Corbet
- Brian M. Lucey
- Andrew Urquhart
- Paraskevi Katsiampa
- L. Yarovaya
- Emmanouil Platanakis
- C. Larkin
- Sowmya Subramaniam
In Information Systems
- Andrew Urquhart
- Shaen Corbet
- Paraskevi Katsiampa
- Brian M. Lucey
- Emmanouil Platanakis
- L. Yarovaya
- C. Larkin
- Andrew Meegan
Citations in the corpus
- Optimal vs naïve diversification in cryptocurrencies (2018, background): “…there has consequently been a stream of literature examining the properties of cryptocurrencies, documenting bubbles in Bitcoin (Cheah and Fry 2015; Corbet et al 2017), the market efficiency of Bitcoin (Urquhart 2016; Nadarajah and Chu 2017; Tiwari et al 2017; Khuntia and Pattanayak 2018), the…”
- Equilibrium Bitcoin Pricing (2018, positive): “Several recent empirical papers have offered econometric tests of bubbles in the cryptocurrency market (see for instance Corbet et al., 2017, or Fantazzini et al., 2016, for a review).”
- Is Bitcoin a hedge or safe haven for currencies? An intraday analysis (2019, neutral): “2 Cheah and Fry (2015) show that cryptocurrencies are prone to substantial speculative bubbles and that the fundamental value of Bitcoin is zero, while recently Corbet et al (2018a) examine the fundamental drivers of the Bitcoin price and show there are clear periods of bubble behaviour of Bitcoin.”