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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …

Persistent link: https://www.econbiz.de/10011392621

Another look at cryptocurrency bubbles

Gronwald, Marc - 2019

This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …

Persistent link: https://www.econbiz.de/10012033146

Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10013368898

Decisions on seasonal unit roots

Kunst, Robert M.; Reutter, Michael - 2000

Decisions on the presence of seasonal unit roots in economic time series are commonly taken on the basis of statistical hypothesis tests. Some of these tests have absence of unit roots as the null hypothesis, while others use unit roots as their null. Following a suggestion by Hylleberg (1995)...

Persistent link: https://www.econbiz.de/10009781562

Bubbles and collateral

Awaya, Yu; Do, Jihwan; Watanabe, Makoto - 2025

We construct a model of bubbles where an asset can be used as collateral primarily due to higher-order uncertainty … fool” exists who will purchase it at a much higher price. We show that such bubbles can lead to inefficient overinvestment …

Persistent link: https://www.econbiz.de/10015404489

Distrust or speculation? : the socioeconomic drivers of U.S. cryptocurrency investments

Auer, Raphael A.; Tercero-Lucas, David - 2021

Employing representative data from the U.S. Survey of Consumer Payment Choice, we disprove the hypothesis that cryptocurrency investors are motivated by distrust in fiat currencies or regulated finance. Compared with the general population, investors show no differences in their level of...

Persistent link: https://www.econbiz.de/10012619271

Cryptocurrency market reactions to regulatory news

Auer, Raphael A.; Claessens, Stijn - 2020

Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations, transaction volumes and user bases react substantially to news about regulatory actions. The impact depends on the specific regulatory category to which the news relates: events...

Persistent link: https://www.econbiz.de/10012205633

Was Bernanke right? : targeting asset prices may not be a good Idea after all

Assenza, Tiziana; Berardi, Michele; Delli Gatti, Domenico - 2011

Should the central bank prevent "excessive" asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...

Persistent link: https://www.econbiz.de/10009377794

Financial fragility, bubbles and monetary policy

Illing, Gerhard - 2001

The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank's concern about the cost of financial disruption generates an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly...

Persistent link: https://www.econbiz.de/10011398119

Bitcoin fluctuations and the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018

BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …

Persistent link: https://www.econbiz.de/10011922057