Explosive behavior in the prices of Bitcoin and altcoins

ÇAĞLI E. Ç.

FINANCE RESEARCH LETTERS, vol.29, pp.398-403, 2019 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 29
  • Publication Date: 2019
  • Doi Number: 10.1016/j.frl.2018.09.007
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.398-403
  • Keywords: Explosiveness, Bubble, Cryptocurrency, Bitcoin, Altcoin, Double asymptotic theory, INEFFICIENCY, VOLATILITY, ECONOMICS, RETURNS, PREDICT, BUBBLES
  • Dokuz Eylül University Affiliated: Yes

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.