Explosive behavior in the prices of Bitcoin and altcoins

【Author】 Cagli, Efe Caglar

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】In this paper, we investigate explosive behavior in the prices of Bitcoin and seven other altcoins: Ethereum, Ripple, Litecoin, Stellar, Nem, Dash, and Monero. We analyze the daily prices of these cryptocurrencies between September 2015 and January 2018 using the new "explosive process framework" of Chen et al. (2017). We find that all cryptocurrencies other than Nem exhibit explosive behavior and reveal significant pairwise co-movement relationships among the explosive cryptocurrencies. In particular, we detect statistically significant bilateral co-explosive relationships at the 10% level or better between the following pairs: Bitcoin Dash, Ethereum-Litecoin, Ethereum-Dash, Ethereum-Monero, and Ripple-Stellar.

【Keywords】Explosiveness; Bubble; Cryptocurrency; Bitcoin; Altcoin; Double asymptotic theory

【发表时间】2019 JUN

【收录时间】2022-01-02

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