Testing the Price Bubbles in Cryptocurrencies using Sequential Augmented Dickey-Fuller (SADF) Test Procedures: A Comparison for Before and After COVID-19

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dc.authoridCelik, Ali/0000-0003-3794-7786
dc.authoridUlu, Çağrı/0000-0001-5338-2987
dc.contributor.authorCelik, Ali
dc.contributor.authorUlu, Cagri
dc.date.accessioned2024-09-11T19:53:19Z
dc.date.available2024-09-11T19:53:19Z
dc.date.issued2023
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractBubbles in asset prices have attracted the attention of economists for centuries. Extreme increases in asset prices, followed by their sudden decline, create a turbulent effect on the economy and even invite crises in time. For this reason, some measurement techniques have been employed to investigate the price bubbles that may occur. This study explores the possible speculative price bubbles of Bitcoin, Ethereum, and Binance Coin cryptocurrencies, compares them with the pre-and post-COVID-19 period, and examines asymmetric causality relationships between variables. Therefore, we analyzed the price bubbles of these cryptocurrencies using the closing price for daily data between 16.01.2018 and 31.12.2021 by the Supremum Augmented Dickey-Fuller (SADF) and the Hatemi-J (2012) asymmetric causality test. In this context, 1446 observations, 723 of which were before COVID-19 and 723 after COVID-19, were employed in the study. Looking at the SADF analysis results, we detected 103 price bubbles before COVID-19 for the three cryptocurrencies, while we determined 599 price bubbles after COVID-19. The common finding in the asymmetric causality test results is that there is a causality relationship between the negative shocks faced by one cryptocurrency and the positive shocks faced by the other cryptocurrencies.en_US
dc.identifier.doi10.47743/saeb-2023-0005
dc.identifier.endpage15en_US
dc.identifier.issn2501-1960
dc.identifier.issn2501-3165
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85186894799en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://doi.org/10.47743/saeb-2023-0005
dc.identifier.urihttps://hdl.handle.net/11363/8119
dc.identifier.volume70en_US
dc.identifier.wosWOS:000966199800001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherAlexandru Ioan Cuza Univ Iasi Fac Economics & Business Admen_US
dc.relation.ispartofScientific Annals of Economics And Businessen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmz20240903_Gen_US
dc.subjectprice bubblesen_US
dc.subjectCOVID-19en_US
dc.subjectSADFen_US
dc.subjectAsymmetric Causalityen_US
dc.titleTesting the Price Bubbles in Cryptocurrencies using Sequential Augmented Dickey-Fuller (SADF) Test Procedures: A Comparison for Before and After COVID-19en_US
dc.typeArticleen_US

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