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Demmler, M., & Fernández Domínguez, A. O. . (2021). Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo. Revista Finanzas Y Política Económica, 13(1), 197–224. https://doi.org/10.14718/revfinanzpolitecon.v13.n1.2021.9
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Resumen

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.

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