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Financial contagion and identifying speculative frenzies: Unraveling price bubbles in cryptocurrency markets

Author

Listed:
  • Nora CHIRIȚĂ

    (Bucharest University of Economic Studies, Romania)

  • Camelia DELCEA

    (Bucharest University of Economic Studies, Romania)

  • Ionuț NICA

    (Bucharest University of Economic Studies, Romania)

  • Simona-Liliana CRĂCIUNESCU (PARAMON)

    (Bucharest University of Economic Studies, Romania)

  • Ștefan-Andrei IONESCU

    (Bucharest University of Economic Studies, Romania)

Abstract

This research investigates the occurrence of financial bubbles in the cryptocurrency market and highlights the factors that may influence the formation of these bubbles. Three cryptocurrencies were analyzed: Bitcoin, Ethereum, and Cardano, and our findings showed that these cryptocurrencies exhibited potential bubbles during the three-year period under study, from 2020 to 2023. To detect financial bubbles, the Exponential Curve Fitting Model (EXCF) model was used. Events such as the Covid-19 pandemic and the Russia-Ukraine conflict were examined from the perspective of their potential impact on the cryptocurrency market and investor behavior. The study also illustrated how investors' behavior, whether rational or influenced by external factors, as well as internal factors such as panic levels and knowledge in the financial-economic domain, were analyzed.

Suggested Citation

  • Nora CHIRIȚĂ & Camelia DELCEA & Ionuț NICA & Simona-Liliana CRĂCIUNESCU (PARAMON) & Ștefan-Andrei IONESCU, 2023. "Financial contagion and identifying speculative frenzies: Unraveling price bubbles in cryptocurrency markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(636), A), pages 21-40, Autumn.
    • Handle: RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:21-40
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    References listed on IDEAS

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    1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
    2. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1079-1134, November.
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    4. Nora CHIRIȚĂ & Ionuț NICA, 2020. "An approach to the use of cryptocurrencies in Romania using data mining technique," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(622), S), pages 5-20, Spring.
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    6. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1079-1134, November.
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