Bitcoin: Bubble that bursts or Gold that glitters?
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comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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INVESTIGACIONMetadatos
Título
Bitcoin: Bubble that bursts or Gold that glitters?Fecha de publicación
2021-06-03Editor
ElsevierCita bibliográfica
CAFERRA, Rocco; TEDESCHI, Gabriele; MORONE, Andrea. Bitcoin: Bubble that bursts or Gold that glitters?. Economics Letters, 2021, 109942.Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
This paper aims to shed light on the 2017 Bitcoin bubble. Firstly, by applying the dynamic time warping algorithm, we identify among several financial instruments a subsample of five assets with similar characteristics ... [+]
This paper aims to shed light on the 2017 Bitcoin bubble. Firstly, by applying the dynamic time warping algorithm, we identify among several financial instruments a subsample of five assets with similar characteristics to the cryptocurrency bubble. Interestingly, among the fluctuations characterizing these assets, the algorithm shows a close affinity between the Bitcoin bubble and the 2000 NASDAQ Dotcom one. Once the subsample is identified, we study the (de)synchronization among these assets via the wavelet coherence approach. Although Bitcoin is poorly correlated with the other indices, given its scarce connection with the real economy, we observe switching phenomena among these instruments. A more careful study on these portfolio reallocations, conducted via an event study analysis, reveals that traders seem to redirect capital from stock markets and gold to Bitcoin in case of positive events of the cryptocurrency. [-]
Publicado en
Economics Letters, Vol. 205, August 2021Derechos de acceso
©2021 Elsevier B.V. All rights reserved.
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info:eu-repo/semantics/openAccess
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info:eu-repo/semantics/openAccess
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