Datestamping the Bitcoin and Ethereum Bubbles

Corbet, Shaen; Lucey, Brian M.; Yarovaya, Larisa

doi:10.2139/ssrn.3079712

Download This Paper

Open PDF in Browser

Add Paper to My Library

Datestamping the Bitcoin and Ethereum Bubbles

17 Pages Posted: 5 Dec 2017

See all articles by Shaen Corbet

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Abu Dhabi University - College of Business Administration; Shanghai Lixin Univeristy of Accounting and Finance

Larisa Yarovaya

University of Southampton - Southampton Business School

Date Written: December 1, 2017

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.

Keywords: Digital Assets, Bitcoin, Ethereum, Bubbles

JEL Classification: C58, G10, G14

Suggested Citation: Suggested Citation

Corbet, Shaen and Lucey, Brian M. and Yarovaya, Larisa, Datestamping the Bitcoin and Ethereum Bubbles (December 1, 2017). Available at SSRN: https://ssrn.com/abstract=3079712 or http://dx.doi.org/10.2139/ssrn.3079712