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The relationship between trend and volume on the bitcoin market

Beata Szetela (beata@prz.edu.pl), Grzegorz Mentel (gmentel@prz.edu.pl), Yuriy Bilan (y.bilan@prz.edu.pl) and Urszula Mentel (u.mentel@prz.edu.pl)
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Beata Szetela: Rzeszów University of Technology
Grzegorz Mentel: Rzeszów University of Technology
Yuriy Bilan: Tomas Bata University in Zlín
Urszula Mentel: Rzeszów University of Technology

Eurasian Economic Review, 2021, vol. 11, issue 1, No 2, 25-42

Abstract: Abstract The aim of the paper is to verify the existence of short- and long-term relationships between the strength of a trend and the volume in bullish and bearish cryptocurrency markets. We applied the vector error correction model to bitcoin daily data from 14.01.2015 to 22.12.2019. Based on the prices and following Wilder’s algorithm, the average directional movement index was calculated, and upward and downward trend periods were determined. No long-term relationship was found to exist between the strength of a trend and the volume in both bearish and bullish markets. Hence, trends do not react to volume changes. However, a long-term relationship exists between volume and trend—but only for the downward trend—with an adjustment speed of 88%. In the short-term, a statistically significant but very weak dependency is revealed; hence, the conclusion that trend strength is insensitive to volume changes can be reached.

Keywords: VECM; VAR; ADX; Volume; Long-run; Bitcoin; Cryptocurrency (search for similar items in EconPapers)
JEL-codes: C01 D53 G12 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (8)

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DOI: 10.1007/s40822-021-00166-5

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