Trading volume and the predictability of return and volatility in the cryptocurrency market

Elie Bouri, Chi Keung Lau, Brian M. Lucey, David Roubaud

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)340-346
Number of pages7
JournalFinance Research Letters
Volume29
Early online date28 Aug 2018
DOIs
Publication statusPublished - Jun 2019

Fingerprint

Trading volume
Predictability
Generalized autoregressive conditional heteroscedasticity
Copula
Granger causality
Causality
Return volatility
Quantile

Cite this

Bouri, Elie ; Lau, Chi Keung ; Lucey, Brian M. ; Roubaud, David . / Trading volume and the predictability of return and volatility in the cryptocurrency market. In: Finance Research Letters. 2019 ; Vol. 29. pp. 340-346.
@article{bc2b3fc2b59b491281e58ff733b29096,
title = "Trading volume and the predictability of return and volatility in the cryptocurrency market",
abstract = "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.",
keywords = "Trading volume, Cryptocurrency, Copula-quantile causality, Return, Volatility",
author = "Elie Bouri and Lau, {Chi Keung} and Lucey, {Brian M.} and David Roubaud",
year = "2019",
month = "6",
doi = "10.1016/j.frl.2018.08.015",
language = "English",
volume = "29",
pages = "340--346",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",

}

Trading volume and the predictability of return and volatility in the cryptocurrency market. / Bouri, Elie ; Lau, Chi Keung; Lucey, Brian M.; Roubaud, David .

In: Finance Research Letters, Vol. 29, 06.2019, p. 340-346.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Trading volume and the predictability of return and volatility in the cryptocurrency market

AU - Bouri, Elie

AU - Lau, Chi Keung

AU - Lucey, Brian M.

AU - Roubaud, David

PY - 2019/6

Y1 - 2019/6

N2 - 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.

AB - 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.

KW - Trading volume

KW - Cryptocurrency

KW - Copula-quantile causality

KW - Return

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=85053069298&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2018.08.015

DO - 10.1016/j.frl.2018.08.015

M3 - Article

VL - 29

SP - 340

EP - 346

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -