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Mikhail Stolbov
''Was there a bubble in the ICO market?''
( 2019, Vol. 39 No.4 )
The paper aims to detect and date-stamp explosive behavior in the initial coin offering (ICO) market since its inception until February 2019. To this end, I conduct a 2x2 empirical exercise by applying two well-established statistical tests for speculative bubbles, the generalized supremum ADF test (Phillips et al., 2015) and the technique proposed by Franses (2016), to two authoritative datasets on monthly ICO dynamics. Bubble patterns are found for this market during May-June 2017 and December 2017-January 2018.
Keywords: bubble, cryptocurrency, explosive process, ICO
JEL: C5 - Econometric Modeling: General
Manuscript Received : Jul 27 2019 Manuscript Accepted : Nov 03 2019

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