How explosive are cryptocurrency prices?

Marc Gronwald

doi:10.1016/j.frl.2020.101603

How explosive are cryptocurrency prices?

Marc Gronwald^* (Corresponding Author)

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

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Abstract

This paper revisits the issue of price explosiveness in cryptocurrency markets by analysing the prices of Bitcoin, XRP, Ether, and Litecoin not only expressed in US Dollars, but also the price of the latter three expressed in Bitcoin. There is strong evidence of explosive periods in cryptocurrency prices expressed in US Dollars, but also when XRP and Ether are expressed in Bitcoin. Whether or not these explosive periods can be interpreted as cryptocurrency bubbles requires a sufficient understanding of the fundamental value of cryptocurrencies. As this is currently insufficient, the term bubble should be used with more caution.

Original language	English
Article number	101603
Number of pages	7
Journal	Finance Research Letters
Volume	38
Early online date	7 Jun 2020
DOIs	https://doi.org/10.1016/j.frl.2020.101603
Publication status	Published - 1 Jan 2021

Keywords

Cryptocurrencies
Bubbles
Explosiveness
Fundamental value
Intrinsic value
Fiat money

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Cite this

@article{a06e2207e33646668651e94628ea862c,

title = "How explosive are cryptocurrency prices?",

abstract = "This paper revisits the issue of price explosiveness in cryptocurrency markets by analysing the prices of Bitcoin, XRP, Ether, and Litecoin not only expressed in US Dollars, but also the price of the latter three expressed in Bitcoin. There is strong evidence of explosive periods in cryptocurrency prices expressed in US Dollars, but also when XRP and Ether are expressed in Bitcoin. Whether or not these explosive periods can be interpreted as cryptocurrency bubbles requires a sufficient understanding of the fundamental value of cryptocurrencies. As this is currently insufficient, the term bubble should be used with more caution.",

keywords = "Cryptocurrencies, Bubbles, Explosiveness, Fundamental value, Intrinsic value, Fiat money",

author = "Marc Gronwald",

note = "The author gratefully acknowledges useful comments by Beat Hintermann, Xin Jin, as well as participants of the 18th Journees LAGV - International Conference in Public Economics. Furthermore, the author is indebted to Sandrine Ngo for motivating me to study the economics of Bitcoins.",

year = "2021",

month = jan,

day = "1",

doi = "10.1016/j.frl.2020.101603",

language = "English",

volume = "38",

journal = "Finance Research Letters",