Examination of bubbles in cryptocurrency markets using advanced unit root tests

Cryptocurrencies are attracting more investors and are reaching higher prices than ever, hence it becomes important to analyse whether the new asset class is a bubble or not. Previous literature on examination of cryptocurrency bubbles has primarily focused on Bitcoin, but the newer cryptocurrencies such as Ethereum are innovating the space with smart contracts, upstaging Bitcoin on some aspects, hence it becomes important to analyse the newer cryptocurrencies apart from Bitcoin as well for rational bubbles. The methods of recursive unit root tests suggested by Phillips, Shi and Yu (2015) has been used in this study to check for the presence of bubbles and to date stamp the periods of exuberance in three major cryptocurrencies: Bitcoin, Ethereum and Ripple from 2016 to 2021. Similarity in exuberance periods of Bitcoin and Ethereum is also detected in this research.