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Speculative bubble tendencies in time series of Bitcoin market prices
Tendencias de burbujas financieras en los precios históricos del Bitcoin
DOI:
https://doi.org/10.15446/cuad.econ.v41n86.85391Palabras clave:
Cryptocurrency, asset price bubble, speculation, time series analysis (en)criptomonedas; burbuja financiera; especulación; análisis de series de tiempo (es)
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This article explores the concepts of cryptocurrencies and speculative bubbles, as Bitcoin’s price behaviour shares characteristics with speculative bubbles that have occurred in recent years. Using a quantitative research design, the study examines daily market prices for the period between 2013 and 2019. Statistical moments, return stationarity, TARCH-type model estimations and Supremum Augmented Dickey-Fuller and Generalised Supremum Augmented Dickey-Fuller tests are analysed. We find evidence for multiple speculative bubble tendencies in Bitcoin prices caused by speculation, which reached their maximum at the end of 2017. Our results are in line with recent studies, which characterise Bitcoin as both highly speculative and vulnerable to financial bubbles.
Este artículo relaciona los conceptos de criptomonedas y burbujas financieras, dado que los precios de Bitcoin presentan características típicas de burbujas especulativas en los últimos años. La investigación cuantitativa considera precios diarios de 2013 a 2019, y analiza los momentos estadísticos y la estacionariedad de los rendimientos, la estimación de modelos tipo TARCH, y las pruebas Dickey-Fuller Aumentada Superior y Dickey-Fuller Aumentada Superior Generalizada. Encontramos evidencia de múltiples tendencias de burbujas financieras debidas a procesos especulativos, con un máximo a finales de 2017. Nuestros resultados confirman estudios recientes que caracterizan a BTC como altamente especulativo y vulnerable a las burbujas financieras.
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