The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.
Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices
Abstract
The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the last and biggest one being the one that ‘broke the camel’s back’ – the demise of the Mt Gox exchange.
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Cites
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Moffitt, R. A. (2009) · American Economic Review · doi:10.1257/aer.99.2.660 · Cited by 4,694
This Time Is Different: Eight Centuries of Financial Folly
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REINHART, C. M., & ROGOFF, K. S. (2009) · Princeton University Press eBooks · doi:10.2307/j.ctvcm4gqx · Cited by 2,357
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
Phillips, P. C. B., Shi, S., & Yu, J. (2015) · International Economic Review · doi:10.1111/iere.12132 · Cited by 1,118
Why Stock Markets Crash: Critical Events in Complex Financial Systems
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Virtual currency, tangible return: Portfolio diversification with bitcoin
Brière, M., Oosterlinck, K., & Szafarz, A. (2015) · Journal of Asset Management · doi:10.1057/jam.2015.5 · Cited by 705
Explosive Rational Bubbles in Stock Prices
Diba, B., & Grossman, H. I. (1988) · American Economic Review · Cited by 679
Pitfalls in Testing for Explosive Bubbles in Asset Prices
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Cited by
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
RetractedOn the inefficiency of Bitcoin
Nadarajah, S., & Chu, J. (2017) · Economics Letters · doi:10.1016/j.econlet.2016.10.033 · Cited by 622
The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin
Li, X., & Wang, C. A. (2017) · Decision Support Systems · doi:10.1016/j.dss.2016.12.001 · Cited by 470
Some stylized facts of the Bitcoin market
Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2017.04.159 · Cited by 447
Metadata
- Authors
- Cheung, A. (.-K., Roca, E., & Su, J.-J.
- Venue
- Applied Economics
- Publisher
- Informa UK Limited
- Published
- 2015-02-04
- Volume
- 47
- Issue
- 23
- Pages
- 2348-2358
- ISSN
- 0003-6846 (ISSN-L)
- 1466-4283
- OpenAlex
- W2041854950
- Cited by
- 368
- References
- 25
- FWCI
- 46.69
- Type
- journal article
- Language
- en
- Open access
- closed
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- Cheung, A. (.-K., Roca, E., & Su, J.-J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics. https://doi.org/10.1080/00036846.2015.1005827
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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