Bitcoin: Bubble that bursts or Gold that glitters?

【Author】 Caferra, Rocco; Tedeschi, Gabriele; Morone, Andrea

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This paper aims to shed light on the 2017 Bitcoin bubble. Firstly, by applying the dynamic time warping algorithm, we identify among several financial instruments a subsample of five assets with similar characteristics to the cryptocurrency bubble. Interestingly, among the fluctuations characterizing these assets, the algorithm shows a close affinity between the Bitcoin bubble and the 2000 NASDAQ Dotcom one. Once the subsample is identified, we study the (de)synchronization among these assets via the wavelet coherence approach. Although Bitcoin is poorly correlated with the other indices, given its scarce connection with the real economy, we observe switching phenomena among these instruments. A more careful study on these portfolio reallocations, conducted via an event study analysis, reveals that traders seem to redirect capital from stock markets and gold to Bitcoin in case of positive events of the cryptocurrency. (C) 2021 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Bubbles; Assets synchronization; Hedging

【发表时间】2021 AUG

【收录时间】2022-01-02

【文献类型】

【主题类别】

--