Testing the Price Bubbles in Cryptocurrencies using Sequential Augmented Dickey-Fuller (SADF) Test Procedures: A Comparison for Before and After COVID-19


  • Ali Çelik Istanbul Gelisim University
  • Çağrı Ulu İzmir Kavram Vocational School




price bubbles, COVID-19, SADF, Asymmetric Causality.


Bubbles in asset prices have attracted the attention of economists for centuries. Extreme increases in asset prices, followed by their sudden decline, create a turbulent effect on the economy and even invite crises in time. For this reason, some measurement techniques have been employed to investigate the price bubbles that may occur. This study explores the possible speculative price bubbles of Bitcoin, Ethereum, and Binance Coin cryptocurrencies, compares them with the pre-and post-COVID-19 period, and examines asymmetric causality relationships between variables. Therefore, we analyzed the price bubbles of these cryptocurrencies using the closing price for daily data between 16.01.2018 and 31.12.2021 by the Supremum Augmented Dickey-Fuller (SADF) and the Hatemi-J (2012) asymmetric causality test. In this context, 1446 observations, 723 of which were before COVID-19 and 723 after COVID-19, were employed in the study. Looking at the SADF analysis results, we detected 103 price bubbles before COVID-19 for the three cryptocurrencies, while we determined 599 price bubbles after COVID-19. The common finding in the asymmetric causality test results is that there is a causality relationship between the negative shocks faced by one cryptocurrency and the positive shocks faced by the other cryptocurrencies.

Author Biographies

Ali Çelik, Istanbul Gelisim University

Department of International Trade and Finance

Çağrı Ulu, İzmir Kavram Vocational School

Department of Foreign Trade


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How to Cite

Çelik, A., & Ulu, Çağrı. (2023). Testing the Price Bubbles in Cryptocurrencies using Sequential Augmented Dickey-Fuller (SADF) Test Procedures: A Comparison for Before and After COVID-19. Scientific Annals of Economics and Business, 70(1), 1–15. https://doi.org/10.47743/saeb-2023-0005