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Speculative bubbles and herding in cryptocurrencies
Financial Innovation, 2022 This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles.
Ozkan Haykir, Ibrahim Yagli
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Cogent Economics and Finance, 2017 Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an ...
Pedro L Valls Pereira, Xibin Zhang
exaly +2 more sources
Speculative bubble tendencies in time series of Bitcoin market prices
Cuadernos de Economía, 2022 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.
Michael Demmler +1 more
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Bitcoin and the South Sea Company: A comparative analysis
Revista Finanzas y Política Económica, 2021 This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities.
Michael Demmler +1 more
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On Testing for Speculative Bubbles [PDF]
Journal of Economic Perspectives, 1990 The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational ...
Flood, Robert P, Hodrick, Robert J
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Speculative Bubbles and Financial Crisis [PDF]
SSRN Electronic Journal, 2009 Are asset prices unduly volatile and often detached from their fundamentals? Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents
Wang, Pengfei, Wen, Yi
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Rational Speculative Bubbles in Iran Informal Exchange Rate and Currency Crisis: Time-varying probabilities Markov regime switching approach [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2019 The purpose of this paper is identifying speculative rational bubbles and applying early warning indices to illustrate these bubbles in USD/IRR informal exchange rate during volatile period of March 2011 to September 2018.
Ali Tayebnia +2 more
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Complexity, 2021 The sharp changes in oil prices since 2004 featured a nonlinear data-generating mechanism which displayed bubble-like behavior. A popular view is that such a salient pattern cannot be explained by shifts in economic fundamentals, but was driven by ...
Kaizhi Yu, Yun Zhang
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Fundamental and speculative components of the cryptocurrency pricing dynamics
Financial Innovation, 2023 The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes. Fundamental components are believed to have a weak, if any, role in the price-formation process.
Jiri Kukacka, Ladislav Kristoufek
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Detecting and analyzing explosive bubbles and their relationship with volatility: evidence from Tunisia [PDF]
RAUSP Management JournalPurpose – This study aims to identify and analyze speculative bubbles in the Tunisian stock market from 2004 to 2023 and examine the evolution of return volatility during these periods.
Sirine Ben Yaala, Jamel Eddine Henchiri
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