Speculative bubble tendencies in time series of Bitcoin market prices

Abstract

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. Using a quantitative research design, the study examines daily market prices for the period between 2013 and 2019. Statistical moments, return stationarity, TARCH-type model estimations and Supremum Augmented Dickey-Fuller and Generalised Supremum Augmented Dickey-Fuller tests are analysed. We find evidence for multiple speculative bubble tendencies in Bitcoin prices caused by speculation, which reached their maximum at the end of 2017. Our results are in line with recent studies, which characterise Bitcoin as both highly speculative and vulnerable to financial bubbles.