Speculative Bubbles in the Bitcoin Digital Currency Market

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Hatefi Majoomard Majid; JALALI OMOLBANIN; Rahimi Ghasemabadi Mohammad

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 189-204

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Title

Speculative Bubbles in the Bitcoin Digital Currency Market

Author(s)

Hatefi Majoomard Majid | JALALI OMOLBANIN | Rahimi Ghasemabadi Mohammad | Issue Writer Certificate

Keywords

BitcoinQ1

Digital CurrencyQ2

Single and Multiple BubblesQ2

Mild Explosive BehaviorQ2

Rolling Window Dickey FullerQ2

Generalized Supremum ADFQ2

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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APA: Copy

Hatefi Majoomard, Majid, JALALI, OMOLBANIN, & Rahimi Ghasemabadi, Mohammad. (2019). Speculative Bubbles in the Bitcoin Digital Currency Market. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 189-204. SID. https://sid.ir/paper/200351/en

Vancouver: Copy

Hatefi Majoomard Majid, JALALI OMOLBANIN, Rahimi Ghasemabadi Mohammad. Speculative Bubbles in the Bitcoin Digital Currency Market. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):189-204. Available from: https://sid.ir/paper/200351/en

IEEE: Copy

Majid Hatefi Majoomard, OMOLBANIN JALALI, and Mohammad Rahimi Ghasemabadi, “Speculative Bubbles in the Bitcoin Digital Currency Market,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 189–204, 2019, [Online]. Available: https://sid.ir/paper/200351/en

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