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

33 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

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