Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification

Larisa Yarovaya and Damian Zięba

Research in International Business and Finance, 2022, vol. 60, issue C

Abstract: This paper analyses the volume-return relationships across the top 30 most traded cryptocurrencies from February 2018 to July 2019 using high-frequency intraday data. We use a novel approach for the classification of cryptocurrencies with respect to multiple qualitative factors, such as geographical location of headquarters, founder and founder’s origin, platform on which the cryptocurrency is built, and consensus algorithm, among others. We identify significant bidirectional causalities between trading volume and returns at different high-frequency intervals; however, those linkages are weakening with decreasing data frequencies. The findings confirm the leading position of the Bitcoin trading volume in the cryptocurrency price formation. This evidence will help investors to design effective trading strategies in cryptocurrency markets providing useful insights from cryptocurrency categorisation.

Keywords: Cryptocurrency classification; Bitcoin; Volume-return relationships; Granger causality (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531921002130
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002130

DOI: 10.1016/j.ribaf.2021.101592

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().