虚拟货币市场的价格投机泡沫实证研究（申优）虚拟货币市场的价格投机泡沫实证研究摘 要股神沃伦·巴菲特曾经这样评价虚拟货币的价值，他认为其只是一场海市蜃楼，投资者应该远离它。下一个投资者出价的高低决定了虚拟货币的价格，而对于这种主观意愿的决定极易产生价格投机泡沫，无数研究者运用模型实验去寻找其中的奥秘，本文选用了五种虚拟货币分别是比特币（BTC）、以太坊（ETH）、瑞波币（XRP）、莱特币（LTC）和达世币（DASH）作为研究数据，并运用 Phillips et al.（2011；2015）所提出的检验方法 SADF 以及 GSADF 来检测泡沫的存在与否、泡沫的产生与破裂时点以及其持续时长，从而对虚拟货币市场的价格投机泡沫进行实证研究，结果显示五种虚拟货币均存在价格泡沫，且持续期较长时期为 2017 年，并根据虚拟货币市场现状提出相应的建议以及本文的不足之处。关键词：虚拟货币；价格泡沫； SADF 检验；GSADF 检验北京理工大学珠海学院 2020 届本科生毕业论文北京理工大学珠海学院 2020 届本科生毕业论文Speculative Bubble in Cryptocurrency MarketAbstractInvestor Warren Buffett once described the value of virtual currencies as a mirage that investors should stay away from. Next the discretion of the investors bid determines the price of the virtual currency, and decision susceptible to price for this kind of subjective intent speculative bubbles, many researchers using model experiment to find the mystery, this article chooses the five types of virtual currency are Bitcoin (BTC), Ethereum (ETH), Ripple (XRP) , Litecoin (LTC) and Digital Cash (DASH), as the research data, and uses such as Phillips et al.(2011;2015) inspection method SADF and GSADF to detect whether there is a foam, as well as bubble’s occurrence, rupture time and endurance time for the virtual currency market price speculation bubble empirical study. The results show that there are price bubbles in these five virtual currencies, and the period of 2017 years is the longest duration. Besides, according to th...
