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

dc.creatorDemmler, Michael
dc.creatorFernández-Domínguez, Amilcar Orlian
dc.date.accessioned2021-01-01 00:00:00
dc.date.accessioned2023-01-23T16:16:02Z
dc.date.accessioned2023-06-05T16:52:40Z
dc.date.available2021-01-01 00:00:00
dc.date.available2023-01-23T16:16:02Z
dc.date.available2023-06-05T16:52:40Z
dc.date.created2021-01-01 00:00:00
dc.date.created2023-01-23T16:16:02Z
dc.date.issued2020-01-01
dc.identifier10.14718/revfinanzpolitecon.v13.n1.2021.9
dc.identifier2011-7663
dc.identifier2248-6046
dc.identifierhttps://hdl.handle.net/10983/29442
dc.identifierhttps://doi.org/10.14718/revfinanzpolitecon.v13.n1.2021.9
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/6648131
dc.description.abstractEste 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.
dc.description.abstractThis 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.
dc.languageeng
dc.publisherUniversidad Católica de Colombia
dc.relationhttps://revfinypolecon.ucatolica.edu.co/article/download/3435/3878
dc.relationhttps://revfinypolecon.ucatolica.edu.co/article/download/3435/3673
dc.relationhttps://revfinypolecon.ucatolica.edu.co/article/download/3435/3809
dc.relationNúm. 1 , Año 2021
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dc.relationRevista Finanzas y Política Económica
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dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.rightsMichael Demmler, Amilcar Orlian Fernández Domínguez - 2021
dc.sourcehttps://revfinypolecon.ucatolica.edu.co/article/view/3435
dc.subjectBitcoin
dc.subjectCriptocurrency
dc.subjectAsset price bubble
dc.subjectFinancial risk
dc.subjectAutoregressive model
dc.subjectBitcoin
dc.subjectCriptomoneda
dc.subjectBurbuja de precio de activo
dc.subjectRiesgo financiero
dc.subjectModelo autorregresivo
dc.titleBitcoin y la Compañía de los Mares del Sur: un análisis comparativo
dc.typeArtículo de revista


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