Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

By A. Cheung, E. Roca, Jen-Je Su. 2015

354 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/bec9c6bccd36846a4f3b655c98d24861e7cfdd4e

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Citations in the corpus

Negative bubbles and shocks in cryptocurrency markets (2016, background): “Empirical evidence of bubbles in Bitcoin and cryptocurrency markets has now been well-documented (see e.g. Cheah and Fry, 2015; Garcia et al., 2014; Cheung et al., 2015).”
On the Value of Virtual Currencies (2019, methodology): “Moreover, based on a purely statistical analysis of the Bitcoin exchange rate, Cheung et al. (2015) and Cheah and Fry (2015) express their concern regarding its “bubble-like” behaviour; see also Weber (2016).”
Cryptocurrencies as a financial asset: A systematic analysis (2019, methodology): “…Crosssection Brave New Coin None 1,225 34 Crypto-currency bubbles: an application of the PhillipsShi-Yu (2013) methodology on Mt. Gox bitcoin prices Cheung et al. 2015 Price Bubble testing Augmented Dickey-Fuller Daily bitcoincharts.comNone 1,307 35 Can volume predict Bitcoin returns and…”
An empirical investigation of volatility dynamics in the cryptocurrency market (2019, positive): “Cheah and Fry (2015) showed that the fundamental value of Bitcoin is zero and that Bitcoin prices are prone to speculative bubbles, while Cheung et al. (2015), applying the Phillips et al. (2015) methodology to Bitcoin prices, detected several short-lived bubbles as well as three large bubbles…”
Bitcoin price and its marginal cost of production: support for a fundamental value (2018, positive): “32 sec / * 2 hr day BTC day hr βρ δ ⋅   =   ⋅   (2) where: BTC/day* is the expected level of daily bitcoin production when mining bitcoin, β is the block reward (expressed in units of BTC/block), ρ is the hashing power employed by a miner, and δ is the”
Cryptocurrency trading: a comprehensive survey (2020, methodology): “To discuss the high volatility and return of cryptocurrencies, current research has focussed on bubbles of cryptocurrency markets [58], correlation between cryptocurrency bubbles and indicators like”
Some stylized facts of the cryptocurrency market (2018, background): “…to the investigations on the pricing dynamics of Bitcoin and its correlations with other financial assets (Baek and Elbeck 2015; Baur et al., 2017a; Blau 2018; Bouri et al. 2017a, 2017b; Chen and He 2013; Cheung, Roca, and Su 2015; Dyhrberg 2016; Feng, Wang, and Zhang 2018; Śmiech and Papież 2017).”
The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2019, positive): “are based on limited samples characterized by a long-lasting bubble that questions the economic benefits of Bitcoin (Cheung et al., 2015).”