Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo

Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, es...

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Autores:
Demmler, Michael
Fernández-Domínguez, Amilcar Orlian
Tipo de recurso:
Article of investigation
Fecha de publicación:
2020
Institución:
Universidad Católica de Colombia
Repositorio:
RIUCaC - Repositorio U. Católica
Idioma:
eng
OAI Identifier:
oai:repository.ucatolica.edu.co:10983/29442
Acceso en línea:
https://hdl.handle.net/10983/29442
https://doi.org/10.14718/revfinanzpolitecon.v13.n1.2021.9
Palabra clave:
Bitcoin
Criptocurrency
Asset price bubble
Financial risk
Autoregressive model
Bitcoin
Criptomoneda
Burbuja de precio de activo
Riesgo financiero
Modelo autorregresivo
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openAccess
License
Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021
id UCATOLICA2_abcadf216092f9cee4119de5a1a0a473
oai_identifier_str oai:repository.ucatolica.edu.co:10983/29442
network_acronym_str UCATOLICA2
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repository_id_str
dc.title.spa.fl_str_mv Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
dc.title.translated.eng.fl_str_mv Bitcoin and the South Sea Company: A comparative analysis
title Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
spellingShingle Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
Bitcoin
Criptocurrency
Asset price bubble
Financial risk
Autoregressive model
Bitcoin
Criptomoneda
Burbuja de precio de activo
Riesgo financiero
Modelo autorregresivo
title_short Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_full Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_fullStr Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_full_unstemmed Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_sort Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
dc.creator.fl_str_mv Demmler, Michael
Fernández-Domínguez, Amilcar Orlian
dc.contributor.author.spa.fl_str_mv Demmler, Michael
Fernández-Domínguez, Amilcar Orlian
dc.subject.eng.fl_str_mv Bitcoin
Criptocurrency
Asset price bubble
Financial risk
Autoregressive model
topic Bitcoin
Criptocurrency
Asset price bubble
Financial risk
Autoregressive model
Bitcoin
Criptomoneda
Burbuja de precio de activo
Riesgo financiero
Modelo autorregresivo
dc.subject.spa.fl_str_mv Bitcoin
Criptomoneda
Burbuja de precio de activo
Riesgo financiero
Modelo autorregresivo
description Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la media, desviación estándar y el sesgo. Otras pruebas estadísticas muestran varios momentos de explosión en las series de tiempo de los retornos de ambos activos, lo que implica que estos exhibieron más de una burbuja financiera.
publishDate 2020
dc.date.issued.none.fl_str_mv 2020-01-01
dc.date.accessioned.none.fl_str_mv 2021-01-01 00:00:00
2023-01-23T16:16:02Z
dc.date.available.none.fl_str_mv 2021-01-01 00:00:00
2023-01-23T16:16:02Z
dc.type.spa.fl_str_mv Artículo de revista
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dc.relation.references.eng.fl_str_mv Abramova, S., & Böhme, R. (2016). Perceived benefit and risk as multidimensional determinants of Bitcoin use: A quantitative exploratory study. Proceedings from the Thirty Seventh International Conference on Information Systems. Dublin, UK: ICIS.
Abreu, D., & Brunnermeier, M. K. (2002). Synchronization Risk and Delayed Arbitrage. Journal of Financial Economics, 66(2-3), 341-360. https://doi.org/10.1016/S0304-405X(02)00227-1
Agosto, A., & Cafferata, A. (2020). Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. Risks, 8(2), 1-14. https://doi.org/10.3390/risks8020034
Akerlof, G. A., & Shiller, R. J. (2009). Animal Spirits – How Human Psychology Drives the Economy and Why It Matters for Global Capitalism. Princeton, NJ: Princeton University Press.
Ali, R., Barrdear, J., Clews, R., & Southgate, J. (2014). Innovations in payment technologies and the emergence of digital currencies. Bank of England Quarterly Bulletin, (2014 Q3), 262-275.
Allen, F., & Gale, D. (2000). Bubbles and Crises. Economic Journal, 110(460), 236-255. https://doi.org/10.1111/1468-0297.00499
Allen, F., & Gorton, G. (1993). Churning Bubbles. Review of Economic Studies, 60(4), 813-836. https://doi.org/10.2307/2298101
Antonopoulos, A. (2017). Mastering Bitcoin: Programming the open blockchain (2nd ed.). Sebastopol, CA: O´Reilly Media Inc.
Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. https://doi.org/10.1080/13504851.2014.916379
Barberis, N., & Thaler, R. (2002). A survey of behavioral finance. In G.M. Constantinides, M. Harris, & R. M. Stulz (eds.), Handbook of the Economics of Finance (pp. 1053-1128). Elsevier.
Baur, D., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar: A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012
Bech, M., & Garratt, R. (2017). Central bank cryptocurrencies. BIS Quarterly Review, 55-70. https://www.bis.org/publ/qtrpdf/r_qt1709f.pdf
Bianchetti, M., Ricci, C., & Scaringi, M. (2018). Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses. SSRN. https://ssrn.com/abstract=3092427 or http://dx.doi.org/10.2139/ssrn.3092427
Blanchard, O. J. (1979). Speculative Bubbles, Crashes and Rational Expectations. Economic Letters, 3(4), 387-389. https://doi.org/10.1016/0165-1765(79)90017-X
Blanchard, O., & Watson, M. (1982). Bubbles, Rational Expectations and Financial Markets. In Wachtel, P. Crisis in the economic and financial structure (pp. 295-316). Lexington, MA: D.C. Heathand Company.
Bonneau, J., Miller, A., Clark, J., Narayanan, A., Kroll, J., & Felten, E. (2015). SoK: Research perspectives and challenges for Bitcoin and cryptocurrencies. Proceedings from 2015 IEEE Computer Society Symposium on Security and Privacy. San Jose, CA: IEEE.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
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De Filippi, P. (2014). Bitcoin: a regulatory nightmare to a libertarian dream. Internet Policy Review, 3(2), Retrieved from: https://policyreview.info/articles/analysis/bitcoin-regulatory-nightmare-libertarian-dream
Demmler, M. (2017). Irrationality of asset price bubbles – human decision-making in the course of financial bubbles. México: Pearson Educación.
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dc.rights.eng.fl_str_mv Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021
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spelling Demmler, Michael6a895c4d-626e-48c6-bb87-b71df864ba6e300Fernández-Domínguez, Amilcar Orlian0b36fe95-9a65-43fa-8a76-006dde9f4f902021-01-01 00:00:002023-01-23T16:16:02Z2021-01-01 00:00:002023-01-23T16:16:02Z2020-01-01Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la media, desviación estándar y el sesgo. Otras pruebas estadísticas muestran varios momentos de explosión en las series de tiempo de los retornos de ambos activos, lo que implica que estos exhibieron más de una burbuja financiera.This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble.text/htmlapplication/pdftext/xml10.14718/revfinanzpolitecon.v13.n1.2021.92011-76632248-6046https://hdl.handle.net/10983/29442https://doi.org/10.14718/revfinanzpolitecon.v13.n1.2021.9engUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/3435/3878https://revfinypolecon.ucatolica.edu.co/article/download/3435/3673https://revfinypolecon.ucatolica.edu.co/article/download/3435/3809Núm. 1 , Año 2021224119713Revista Finanzas y Política EconómicaAbramova, S., & Böhme, R. (2016). Perceived benefit and risk as multidimensional determinants of Bitcoin use: A quantitative exploratory study. Proceedings from the Thirty Seventh International Conference on Information Systems. Dublin, UK: ICIS.Abreu, D., & Brunnermeier, M. K. (2002). Synchronization Risk and Delayed Arbitrage. Journal of Financial Economics, 66(2-3), 341-360. https://doi.org/10.1016/S0304-405X(02)00227-1Agosto, A., & Cafferata, A. (2020). Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. Risks, 8(2), 1-14. https://doi.org/10.3390/risks8020034Akerlof, G. A., & Shiller, R. J. (2009). Animal Spirits – How Human Psychology Drives the Economy and Why It Matters for Global Capitalism. Princeton, NJ: Princeton University Press.Ali, R., Barrdear, J., Clews, R., & Southgate, J. (2014). Innovations in payment technologies and the emergence of digital currencies. Bank of England Quarterly Bulletin, (2014 Q3), 262-275.Allen, F., & Gale, D. (2000). Bubbles and Crises. Economic Journal, 110(460), 236-255. https://doi.org/10.1111/1468-0297.00499Allen, F., & Gorton, G. (1993). Churning Bubbles. Review of Economic Studies, 60(4), 813-836. https://doi.org/10.2307/2298101Antonopoulos, A. (2017). Mastering Bitcoin: Programming the open blockchain (2nd ed.). Sebastopol, CA: O´Reilly Media Inc.Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. https://doi.org/10.1080/13504851.2014.916379Barberis, N., & Thaler, R. (2002). A survey of behavioral finance. In G.M. Constantinides, M. Harris, & R. M. Stulz (eds.), Handbook of the Economics of Finance (pp. 1053-1128). Elsevier.Baur, D., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar: A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012Bech, M., & Garratt, R. (2017). Central bank cryptocurrencies. BIS Quarterly Review, 55-70. https://www.bis.org/publ/qtrpdf/r_qt1709f.pdfBianchetti, M., Ricci, C., & Scaringi, M. (2018). Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses. SSRN. https://ssrn.com/abstract=3092427 or http://dx.doi.org/10.2139/ssrn.3092427Blanchard, O. J. (1979). Speculative Bubbles, Crashes and Rational Expectations. Economic Letters, 3(4), 387-389. https://doi.org/10.1016/0165-1765(79)90017-XBlanchard, O., & Watson, M. (1982). Bubbles, Rational Expectations and Financial Markets. In Wachtel, P. Crisis in the economic and financial structure (pp. 295-316). Lexington, MA: D.C. Heathand Company.Bonneau, J., Miller, A., Clark, J., Narayanan, A., Kroll, J., & Felten, E. (2015). SoK: Research perspectives and challenges for Bitcoin and cryptocurrencies. Proceedings from 2015 IEEE Computer Society Symposium on Security and Privacy. San Jose, CA: IEEE.Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025Bradbury, D. (2013). 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Opening speech for the Fourth Cash Symposium of the Deutsche Bundesbank, Frankfurt am Main. https://www.bundesbank.de/en/press/speeches/opening-speech-667594#tar-2Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revfinypolecon.ucatolica.edu.co/article/view/3435BitcoinCriptocurrencyAsset price bubbleFinancial riskAutoregressive modelBitcoinCriptomonedaBurbuja de precio de activoRiesgo financieroModelo autorregresivoBitcoin y la Compañía de los Mares del Sur: un análisis comparativoBitcoin and the South Sea Company: A comparative analysisArtículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2597https://repository.ucatolica.edu.co/bitstreams/bfa725b8-9620-465b-8ba4-8339d7bf44ba/download4d6f87a5a20b83b542531dcb6dab9304MD5110983/29442oai:repository.ucatolica.edu.co:10983/294422023-03-24 17:23:33.058https://creativecommons.org/licenses/by-nc-sa/4.0/Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com

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