Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin

By Eng-Tuck Cheah, John Fry. 2015

1,256 citations recorded by the source corpus.

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles. Further, we find empirical evidence that the fundamental price of Bitcoin is zero.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/53a3b35c8d530b9b9a395ababc361c817b57ff6e

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

In Finance

In Information Systems

Citations in the corpus

Effects of the geopolitical risks on Bitcoin returns and volatility (2019, background): “Another strand of the literature documents the existence of speculative bubbles on Bitcoin (Cheah and Fry, 2015; Corbet et al., 2018a; Poyser, 2018; Su et al., 2018).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “After the global financial crisis of 2008, there has been a debate as regards the hedging ability of bitcoin, its diversification importance, safe haven features and characteristics as a currency or a commodity (see Guesmi et al., 2019; Pieters and Vivanco, 2017; Katsiampa, 2017; Cheah and Fry, 2015”
Statistical properties and multifractality of Bitcoin (2017, methodology): “Bitcoin price properties have also received attention, leading to analysis of various related issues, such as time series analysis using economic models, such as GARCH-type models[4, 5]; statistical properties of Bitcoin prices[6, 7]; inefficiency of Bitcoin[8, 9]; hedging capabilities of Bitcoin[10”
Supply Chain Finance Innovation Using Blockchain (2020, methodology): “The Bitcoin system has also become the first representative experiment and application of blockchain technology in the financial field [23].”
Analysis on the influence factors of Bitcoin’s price based on VEC model (2017, background): “Cheah and Fry (2015) analyzed Bitcoin from the perspective of speculative-bubble, empirical results showed that Bitcoin prices are prone to speculative bubbles and the fundamental value of Bitcoin is zero.”
Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, neutral): “…et al 2018), the hedging and diversification benefits (Bouri et al 2017; Corbet et al 2018a; Urquhart and Zhang 2018; Borri 2019), the existence of bubbles (Cheah and Fry 2015; Corbet et al 2018b) and the behaviour of Bitcoin returns (Urquhart 2017; Corbet and Katsiampa 2018; Phillip et al 2018).”
An application of extreme value theory to cryptocurrencies (2018, neutral): “For this reason, a lot of academic research has been conducted on Bitcoin (see, e.g., Cheah and Fry, 2015; Dyhrberg, 2016; Urquhart, 2016, 2017; Bariviera, 2017; Katsiampa, 2017; Nadarajah and Chu, 2017).”