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Datestamping the Bitcoin and Ethereum bubbles

Datestamping the Bitcoin and Ethereum bubbles
Datestamping the Bitcoin and Ethereum bubbles
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.
cryptocurrencies, digital assets, Bitcoin, Ethereum, Bubbles
1544-6123
81-88
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Corbet, Shaen, Lucey, Brian and Yarovaya, Larisa (2018) Datestamping the Bitcoin and Ethereum bubbles. Finance Research Letters, 26, 81-88. (doi:10.1016/j.frl.2017.12.006).

Record type: Article

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.

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Accepted/In Press date: 14 December 2017
e-pub ahead of print date: 19 December 2017
Published date: September 2018
Keywords: cryptocurrencies, digital assets, Bitcoin, Ethereum, Bubbles

Identifiers

Local EPrints ID: 426350
URI: http://eprints.soton.ac.uk/id/eprint/426350
ISSN: 1544-6123
PURE UUID: f153d40f-c1a4-4d0b-b03e-3de0553c3a80
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 23 Nov 2018 17:30
Last modified: 28 Apr 2022 04:09

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Contributors

Author: Shaen Corbet
Author: Brian Lucey
Author: Larisa Yarovaya ORCID iD

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