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Co-explosivity in the cryptocurrency market

Author

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  • Bouri, Elie
  • Shahzad, Syed Jawad Hussain
  • Roubaud, David

Abstract

Most of the limited evidence on the exponential price spikes (i.e. price explosivity) in the cryptocurrency market mainly considers the case of Bitcoin, although other cryptocurrencies have gradually eroded Bitcoin's dominance. Importantly, none has been documented as to whether explosivity periods in cryptocurrencies are contemporaneously related. Accordingly, we date-stamp price explosivity in leading cryptocurrencies and reveal that all cryptocurrencies investigated herein were characterised by multiple explosivity. Then, we determine whether explosivity in one cryptocurrency can lead to explosivity in other cryptocurrencies. Results show evidence of a multidirectional co-explosivity behaviour that is not necessarily from bigger to smaller and younger markets.

Suggested Citation

  • Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019. "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 29(C), pages 178-183.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:178-183
    DOI: 10.1016/j.frl.2018.07.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrency market; Bitcoin; Bubble; Co-explosivity;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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