Crypto-currency: Empirical evidence from GSADF and wavelet coherence techniques

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Tytuł:: Crypto-currency: Empirical evidence from GSADF and wavelet coherence techniques
Autorzy:: Dervis Kırıkkaleli
Ersin Cağlar
Kelvin Onyibor
Temat:: crypto-currency
multiple bubble
gsadf
wavelet coherence
Accounting. Bookkeeping
HF5601-5689
Źródło:: Accounting, Vol 6, Iss 2, Pp 199-208 (2020)
Wydawca:: Growing Science, 2020.
Rok publikacji:: 2020
Kolekcja:: LCC:Accounting. Bookkeeping
Typ dokumentu:: article
Opis pliku:: electronic resource
Język:: English
ISSN:: 2369-7393
2369-7407
Relacje:: http://www.growingscience.com/ac/Vol6/ac_2019_12.pdf; https://doaj.org/toc/2369-7393; https://doaj.org/toc/2369-7407
DOI:: 10.5267/j.ac.2019.10.003
Dostęp URL:: https://doaj.org/article/6f57b6c3f0af4aa48580e12edc33d68b Link otwiera się w nowym oknie
Numer akcesji:: edsdoj.6f57b6c3f0af4aa48580e12edc33d68b
: Czasopismo naukowe

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This study is targeted towards the explosive behavior of crypto-currencies, namely Bitcoin, Etherium, Litecoin and Ripple by investigating the crypto-currencies bubbles and the causal link between Bitcoin and other three crypto-currencies prices, using GSADF and wavelet coherence tests. The study aims to answer the following questions which have not been investigated in the literature to our best knowledge (i) Was there any bubble in the prices of Bitcoin, Etherium, Litecoin and Ripple and between 01.09.2016 and 01.04.2019? If yes, why (ii) was there any linkage between Bitcoin and Etherium, Litecoin and Ripple? Our findings reveal that (a) there were some bubbles in the crypto-currencies for the periods investigated; (b) there was a positive correlation between Bitcoin and Etherium, Litecoin and Ripple in the short-run; (c) changes in Bitcoin prices lead changes Etherium, Litecoin and Ripple prices in the long run at different periods.

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