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2018 ; 13
(4
): e0195200
Nephropedia Template TP
PLoS One
2018[]; 13
(4
): e0195200
PMID29668765
show ga
Cryptocurrencies have experienced recent surges in interest and price. It has
been discovered that there are time intervals where cryptocurrency prices and
certain online and social media factors appear related. In addition it has been
noted that cryptocurrencies are prone to experience intervals of bubble-like
price growth. The hypothesis investigated here is that relationships between
online factors and price are dependent on market regime. In this paper, wavelet
coherence is used to study co-movement between a cryptocurrency price and its
related factors, for a number of examples. This is used alongside a well-known
test for financial asset bubbles to explore whether relationships change
dependent on regime. The primary finding of this work is that medium-term
positive correlations between online factors and price strengthen significantly
during bubble-like regimes of the price series; this explains why these
relationships have previously been seen to appear and disappear over time. A
secondary finding is that short-term relationships between the chosen factors and
price appear to be caused by particular market events (such as hacks / security
breaches), and are not consistent from one time interval to another in the effect
of the factor upon the price. In addition, for the first time, wavelet coherence
is used to explore the relationships between different cryptocurrencies.