IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v13y2019i1p105-120.html
   My bibliography  Save this article

Investigating Price Bubbles in Cryptocurrencies

Author

Listed:
  • Sefa METE
  • Ayben KOY
  • Hicabi ERSOY

Abstract

While blockchain systems are taking place in the financial sector with new products in various fields of use, crypto coins, one of the prominent products of this system, continue to search for their price and value. Similar signs of price increases in crypto currencies and subsequent collapses starting from the second quarter of 2017 started to be seen again in the first quarter of 2019. The existence of speculative bubbles in Bitcoin (BTC) which is the first crypto currency (coin) of the crypto currency market, and the bubbles in the Ethereum (ETH) and Ripple (XRP) which are the currencies having highest volume of transactions folowing BTC, are tested by Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) methodologies. The results show that BTC is especially open to speculative movements with price bubbles formed between 2013 to 2014, 2017 to 2018 and 2019, ETH between 2013 to 2016 and 2017 to 2018, and XRP between 2014 to 2015 and 2017 to 2018.

Suggested Citation

  • Sefa METE & Ayben KOY & Hicabi ERSOY, 2019. "Investigating Price Bubbles in Cryptocurrencies," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 13(1), pages 105-120.
    • Handle: RePEc:bdd:journl:v:13:y:2019:i:1:p:105-120
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiEn/dergi_0025_07.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Cryptocurrencies; Bitcoin; SADF; GSADF; Price Bubbles;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:13:y:2019:i:1:p:105-120. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sumeyye Azize CENGIZ (email available below). General contact details of provider: https://edirc.repec.org/data/bddgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.