Title: Bubbles in the virtual finance: an application of the Phillips-Wu-Yu (2011) methodology on the bitcoin price
Authors: Myriam Ben Osman; Kamel Naoui
Addresses: Ecole Supérieure de Commerce de Tunis, University of Manouba, Manouba, Tunisia ' Ecole Supérieure de Commerce de Tunis, University of Manouba, Manouba, Tunisia
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.
Keywords: speculative bubbles; crypto-currency; bitcoin; augmented Dickey-Fuller ADF; SADF; virtual finance; virtual bubbles.
American Journal of Finance and Accounting, 2021 Vol.6 No.3/4, pp.284 - 296
Received: 25 Jun 2020
Accepted: 27 Apr 2021
Published online: 23 Aug 2021 *