Is the Bitcoin Rush Over?

24 Pages Posted: 19 Apr 2018

See all articles by Marius Frunza

Marius Frunza

University Paris Dauphine

Dominique Guegan

Université Paris I Panthéon-Sorbonne

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Date Written: April 16, 2018

Abstract

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 2014 and 2017.

Keywords: Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

JEL Classification: C2, C4, C5

Suggested Citation

Frunza, Marius and Guegan, Dominique, Is the Bitcoin Rush Over? (April 16, 2018). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/WP/2018, Available at SSRN: https://ssrn.com/abstract=3164750 or http://dx.doi.org/10.2139/ssrn.3164750

Marius Frunza

University Paris Dauphine ( email )

Place du Maréchal de Lattre de Tassigny - 75775 PA
Paris, 75775
France

Dominique Guegan (Contact Author)

Université Paris I Panthéon-Sorbonne ( email )

106 avenue de lhopital
75634 Paris Cedex 13
Paris, IL
France

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