Bubbles in the virtual finance: an application of the Phillips-Wu-Yu (2011) methodology on the bitcoin price

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.