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Was there a bubble in the ICO market?

Author

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  • Mikhail Stolbov

    (Moscow State Institute of International Relations (MGIMO-University))

Abstract

The paper aims to detect and date-stamp explosive behavior in the initial coin offering (ICO) market since its inception until February 2019. To this end, I conduct a 2x2 empirical exercise by applying two well-established statistical tests for speculative bubbles, the generalized supremum ADF test (Phillips et al., 2015) and the technique proposed by Franses (2016), to two authoritative datasets on monthly ICO dynamics. Bubble patterns are found for this market during May-June 2017 and December 2017-January 2018.

Suggested Citation

  • Mikhail Stolbov, 2019. "Was there a bubble in the ICO market?," Economics Bulletin, AccessEcon, vol. 39(4), pages 2448-2456.
    • Handle: RePEc:ebl:ecbull:eb-19-00673
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    File URL: http://www.accessecon.com/Pubs/EB/2019/Volume39/EB-19-V39-I4-P227.pdf
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    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    2. Sabrina T. Howell & Marina Niessner & David Yermack, 2018. "Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales," NBER Working Papers 24774, National Bureau of Economic Research, Inc.
    3. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
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    5. Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
    6. Adhami, Saman & Giudici, Giancarlo & Martinazzi, Stefano, 2018. "Why do businesses go crypto? An empirical analysis of initial coin offerings," Journal of Economics and Business, Elsevier, vol. 100(C), pages 64-75.
    7. Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2018. "Can bubble theory foresee banking crises?," Journal of Financial Stability, Elsevier, vol. 36(C), pages 66-81.
    8. Tie Ying Liu & Chi Wei Su & Xu Zhao Jiang & Tsangyao Chang, 2015. "Is There Excess Liquidity in China?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(3), pages 110-126, May.
    9. Caspi, Itamar, 2013. "Rtadf: Testing for Bubbles with EViews," MPRA Paper 58791, University Library of Munich, Germany, revised 06 Sep 2014.
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    Cited by:

    1. Jacopo Temperini & Marcella Corsi, 2023. "Democratizing money? The role of cryptocurrencies," PSL Quarterly Review, Economia civile, vol. 76(304), pages 51-66.

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    More about this item

    Keywords

    bubble; cryptocurrency; explosive process; ICO;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

    Statistics

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