Journal article
Cumulation, crash, coherency: a cryptocurrency bubble wavelet analysis
- Abstract:
-
After its price peaked in 2017, Bitcoin lost almost half of its value in US Dollars within one month, which in turn is likely to have influenced the behaviour of market participants – many of who were lay investors. We hypothesize that after the peak, there was a structural change in the relationships between cryptocurrencies towards instability, as indicated by increased interdependence. We utilize wavelet coherence analysis of intraday data (5-minute resolution) to investigate the dynamics ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Finance Research Letters Journal website
- Volume:
- 40
- Article number:
- 101668
- Publication date:
- 2020-06-26
- Acceptance date:
- 2020-06-25
- DOI:
- EISSN:
-
1544-6131
- ISSN:
-
1544-6123
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1126330
- Local pid:
- pubs:1126330
- Deposit date:
- 2023-01-20
Terms of use
- Copyright holder:
- Elsevier Inc.
- Copyright date:
- 2020
- Rights statement:
- © 2020 Elsevier Inc. All rights reserved.
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