Bubbles in the virtual finance: an application of the Phillips-Wu-Yu (2011) methodology on the bitcoin price
by Myriam Ben Osman; Kamel Naoui
American J. of Finance and Accounting (AJFA), Vol. 6, No. 3/4, 2021

Abstract: This paper aims to detect the existence of speculative bubbles in the bitcoin US price by using a year by year ADF test, initiated by Dickey and Fuller (1981), and SADF test, initiated by Phillips et al. (2011). Over the period 2011-2020, we detect several episodes of bubbles during specific times of our study period but most importantly we detect a huge bubble in 2017 and 2019.

Online publication date: Mon, 23-Aug-2021

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