Trading volume and the predictability of return and volatility in the cryptocurrency market
By Elie Bouri, Chi Keung Marco Lau, Brian M. Lucey, David Roubaud. Finance Research Letters, 2019
205 citations recorded by the source corpus.
We extend our limited understanding on the Granger causality from trading volume to the returns and volatility in the cryptocurrency market via a copula-quantile causality approach. Using daily data of seven leading cryptocurrencies (Bitcoin, Ripple, Ethereum, Litecoin, Nem, Dash, and Stellar), results show that trading volume Granger causes extreme negative and positive returns of all cryptocurrencies under study. However, volume Granger causes return volatility for only three cryptocurrencies (Litecoin, NEM, and Dash) when the volatility is low. However, this latter result only holds when squared returns are used as a proxy of volatility and not when GARCH volatility is employed.
Subfields: Economics and Econometrics, Finance, Information Systems
View Paper: https://www.semanticscholar.org/paper/6ac9b46f99a92555f8b70eeb7500cb68587b2d99
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
In Information Systems
Citations in the corpus
- Cryptocurrency trading: a comprehensive survey (2020, background): “[35] price, volatility, detrended volume data Bitcoin, Ethereum, 5 other cryptocurrencies daily From: 2013/01/01 To: 2017/12/31 Prediction of volatility/return CoinMarketCap”