The Empirical Study In Testing Bitcoin Price Bubble

Cryptocurrencies including Bitcoin appear in the public in recent years,which have attracted much remarkable attention from the media,the academic and governments.The price of bitcoin has been fluctuating rapidly from its rising to now.The price bubble exists in Bitcoin is a common narrative.This article firstly recalls the researches about the Bitcoin,which mainly focus on qualitative researches and lack in quantitative examinations.Thus,the quantitative study about Bitcoin should be enforced.The academics tries to compute the fundamental value of the Bitcoin.Some regard the Bitcoin as the goods and evaluate the fundamental value based on the cost pricing method.Some tries to find the value of Bitcoin from Fisher Equation.Some use the PE method to measure the value of Bitcoin.Others attempt to use options pricing model and arbitrage-free pricing method to get the fundamental value of the Bitcoin.But there is a problem in these method that the error in the fundamental value would amplify the error in testing the bubble of Bitcoin.In addition,the phenomenon that asset price deviates from its intrinsic value described as the price bubbles is criticized.The bubble is a long-term and remarkable deviation.Thus in this paper,it is to test the price bubble in the way to find the explosiveness in the price from the changing process in price,not from the intrinsic value.Based on Supremum ADF test and Generalized Supremum ADF test forward by Phillips et al.recent years,this article examines the existence and its duration of the price bubble in Bitcoin over the period from 1 January 2013 to 31 October 2018.The empirical tests have detected Bitcoin bubbles in 2013 and 2017,especially in 2017.The results indicate that there are sever price bubbles in Bitcoin,combined with the information from the governments and the market,the reasons for the price bubbles over the period have been displayed.Finally,based on the study and the analysis,in order to reduce the risks in Bitcoin,some advices for the development about the transaction,legislation and regulation are put forward form perspective of the government.