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dc.contributor.authorCheung, Adrian
dc.contributor.authorRoca, E.
dc.contributor.authorSu, J.
dc.date.accessioned2017-01-30T15:19:25Z
dc.date.available2017-01-30T15:19:25Z
dc.date.created2015-07-16T06:21:48Z
dc.date.issued2015
dc.date.submitted2015-07-16
dc.identifier.citationCheung, A. and Roca, E. and Su, J. 2015. Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics. 47 (23): pp. 2348-2358.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/45230
dc.identifier.doi10.1080/00036846.2015.1005827
dc.description.abstract

The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the last and biggest one being the one that ‘broke the camel’s back’ – the demise of the Mt Gox exchange.

dc.publisherRoutledge
dc.subjectcrypto-currency
dc.subjectbubbles
dc.subjectbitcoin
dc.titleCrypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices
dc.typeJournal Article
dcterms.dateSubmitted2015-07-16
dcterms.source.volume47
dcterms.source.number23
dcterms.source.startPage1348
dcterms.source.endPage1258
dcterms.source.issn0003-6846
dcterms.source.titleApplied Economics
curtin.digitool.pid227311
curtin.note

The Version of Record of this manuscript has been published in Applied Economics (2015), http://www.tandfonline.com/10.1080/00036846.2015.1005827

curtin.pubStatusPublished
curtin.refereedTRUE
curtin.departmentSchool of Economics and Finance
curtin.identifier.scriptidPUB-CBS-SEF-ACS-88331
curtin.accessStatusOpen access


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