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We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin. [ABSTRACT FROM AUTHOR]

• Quantile autoregressive (QAR) models are employed to explore the existence of dependence patterns in Bitcoin returns. • Overreaction in the Bitcoin market is detected. • Investors' overreaction arises during days of sharp declines in the Bitcoin price and during weeks of market rallies. We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly return distribution to exhibit positive dependence with past returns. The evidence points to overreaction in the Bitcoin market: investors overreact during days of sharp declines in the Bitcoin price and during weeks of market rallies. [ABSTRACT FROM AUTHOR]