Speculative Bubbles in the Bitcoin Digital Currency Market
Subject Areas : Financial Knowledge of Securities Analysis
Majid Hatefi Majoomard
1
(
Post Doctoral Researcher, Faculty of Economics, Tehran University, Tehran, Iran.
)
Omolbanin Jalali
2
(
Ph.D. Student, Yazd University, Yazd, Iran.
)
Mohammad Rahimi Ghasemabadi
3
(
MA. Student, Shahid Bahonar Kerman University, Kerman, Iran.
)
Keywords: Bitcoin, Digital Currency, Single and Multiple Bubbles, Mild Explosive Behavior, Rolling Window Dickey Fuller, Generalized Supremum ADF,
Abstract :
In recent years, digital currencies have attracted many investors. Bitcoin is one of those digital currencies that are considered to be trading more than other currencies. A review of Bitcoin prices is indicative of fluctuations in this market, which increases probability of existing bubble. In this regard, using the monthly data for the period from 08/2013 to 01/2018, the bubble of this market and the single or multiple type of bubbles were investigated. The method used in this study is A recursive unit root test, which was used in the form of SADF, RADF and GSADF tests. Based on the RADF test, there were four bubble periods (March 2015- April 2015, Decembar 2015- March 2016, July 2016- January 2017, September 2017- not disappeared) that had single structures. Based on the SADF test, there was a continuous long bubble period (August 2016- not disappeared), which has a single structure and has not yet exploded. Finally, based on the GSADF test, there were three bubble periods (March 2015- May 2015, Decembar 2015- March 2016, July 2016- not disappeared), that two first bubbles have same structure (March 2015- May 2015, Decembar 2015- March 2016) and the third one has multiple structure (July 2016- not disappeared).
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