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Original research MULTIPLE-BUBBLE TESTING IN THE CRYPTOCURRENCY MARKET: A CASE STUDY OF BITCOINPages 83-90
Abstract:
Economic periods and financial crises have highlighted the importance of evaluating financial markets to investors and researchers in recent decades. The asset price fluctuation is an innate quality of the market. However, fluctuations sometimes become abnormal and turn into unbridled spikes and sudden declines, causing irreversible damage to an economy and the trust of investors. In recent years, there have been severe price fluctuations in the cryptocurrency market. Some analysts have defined these fluctuations as price bubbles (i.e., economic bubbles). However, no specific definitions have yet been proposed for these price bubbles. The right-tail augmented Dickey–Fuller (RTADF) test was conducted on the time series data of 13 years (2008–2021) to analyze the presence of bubbles in the Bitcoin market. The RTADF results rejected the null hypothesis and confirmed the alternative hypothesis indicating the presence of bubbles in the Bitcoin market. In other words, there is some evidence of explosive behavior in a bubble. Moreover, the results of GSADF and SADF tests confirmed the presence of multiple bubbles in the Bitcoin market within 2008–2021.
Keywords: cryptocurrency market, Bitcoin, multiple bubbles, right-tail augmented Dickey–Fuller (RTADF).
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Sanaz Behzadi, 
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