Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Baltas, Konstantinos and Narayan, Seema (2024) A Comparative Analysis of the Price Explosiveness in Bitcoin and Forked Coins. Finance Research Letters, 61. p. 104955. DOI https://doi.org/10.1016/j.frl.2023.104955
Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Baltas, Konstantinos and Narayan, Seema (2024) A Comparative Analysis of the Price Explosiveness in Bitcoin and Forked Coins. Finance Research Letters, 61. p. 104955. DOI https://doi.org/10.1016/j.frl.2023.104955
Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Baltas, Konstantinos and Narayan, Seema (2024) A Comparative Analysis of the Price Explosiveness in Bitcoin and Forked Coins. Finance Research Letters, 61. p. 104955. DOI https://doi.org/10.1016/j.frl.2023.104955
Abstract
This study employs the PSY method to detect the price bubble of Bitcoin (BTC) and its forked coins. The statistical relationship between BTC and its forked coins is then calculated using Pearson correlation coefficients and six distance measurement methods. The findings indicate that (1) BTC has more bubbles with longer periods. In contrast, certain forked coins do not have bubbles; (2) The correlation between the price bubble of BTC and several forked coins is significant; (3) From the distance of binary time series, Bitcoin Cash and BTC are the closest, while Bitcoin SV is the farthest from BTC.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Bitcoin; Forked coins; Price bubbles; Explosiveness; PSY test |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 11 Jan 2024 11:10 |
| Last Modified: | 30 Oct 2024 21:22 |
| URI: | http://repository.essex.ac.uk/id/eprint/37540 |
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