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Datestamping the Bitcoin and Ethereum bubbles

Author

Listed:
  • Corbet, Shaen
  • Lucey, Brian
  • Yarovaya, Larisa

Abstract

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.

Suggested Citation

  • Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
    • Handle: RePEc:eee:finlet:v:26:y:2018:i:c:p:81-88
    DOI: 10.1016/j.frl.2017.12.006
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Cryptocurrencies; Digital assets; Bitcoin; Ethereum; Bubbles;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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