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Testing for the presence of speculative price bubbles in bitcoin
(İstanbul Ticaret Üniversitesi, 2018) Delikanlı, İhsan Uğur; Vogiazas, Sofoklis
The evolution of cryptocurrencies has become one of the most pressing issues for central banks as it challenges the economic functions and foundations of money. In this paper, we use recently developed right-tailed unit root tests, designed to detect the presence of a bubble component in an asset’s price and to date-stamp its occurrence. Our results confirm the presence of speculative bubble in bitcoin’s price. In addition, we use the generalized method of moments (GMM) framework to investigate the potential drivers of bitcoin returns. Our results suggest that bitcoin returns are significantly associated in the shortrun with the CBOE Volatility Index, the CBOE S&P 500 3-month Volatility Index and the 12-month Euribor rate. We posit that technological advances in financial services would require an effective regulatory framework that needs to be consistent, but also embrace evolving technologies.