Datestamping the Bitcoin and Ethereum Bubbles

17 Pages Posted: 5 Dec 2017  

Shaen Corbet

Dublin City University Business School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School

Larisa Yarovaya

Anglia Ruskin University - Lord Ashcroft International 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

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

Shaen Corbet

Dublin City University Business School ( email )

Dublin 9
Ireland

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Larisa Yarovaya

Anglia Ruskin University - Lord Ashcroft International Business School ( email )

Cambridge
United Kingdom

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