Is the Bitcoin Rush Over?
Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming
22 Pages Posted: 25 Apr 2018
Date Written: April 4, 2018
The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2013 and 2017.
Keywords: Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling
JEL Classification: C58
Suggested Citation: Suggested Citation