Causal relationship between bitcoin price volatility and trading volume: Rolling window approach

Artikel

This study investigates the causal relationship between price volatility and trading volume for bitcoin which is the first cryptocurrency. Data are daily and cover the period starting from December 27, 2013 to March 3, 2019. Price volatility series was produced by using EGARCH model. The Toda-Yamamoto causality test was applied under rolling window approach. According to the Granger causality test, there is a strong causal relationship running from the trading volume to the price volatility. There also exists a causality running from price volatility to volume. But this causality isnot statistically strong. At the same time, a positive and significant contemporaneous correlation was found between the two variables. Both findings support the sequential information arrival hypothesis for the bitcoin market.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Financial Studies ; ISSN: 2066-6071 ; Volume: 23 ; Year: 2019 ; Issue: 3 (85) ; Pages: 6-20 ; Bucharest: Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: sequential information arrival hypothesis ; Toda-Yamamoto causality ; cryptocurrency

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Yamak, Nebiye ; Yamak, Rahmi ; Samut, Serkan
• Ereignis: Veröffentlichung
• (wer): Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
• (wo): Bucharest
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/231681
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ