EconPapers    
Economics at your fingertips  
 

Can volume predict Bitcoin returns and volatility? A quantiles-based approach

Mehmet Balcilar (), Elie Bouri (), Rangan Gupta () and David Roubaud

Economic Modelling, 2017, vol. 64, issue C, 74-81

Abstract: Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional mean of the returns distribution. This study employs in contrast a non-parametric causality-in-quantiles test to analyse the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective conditional distributions. The nonparametric characteristics of our test control for misspecification due to nonlinearity and structural breaks, two features of our data that cover 19th December 2011 to 25th April 2016. The causality-in-quantiles test reveals that volume can predict returns – except in Bitcoin bear and bull market regimes. This result highlights the importance of modelling nonlinearity and accounting for the tail behaviour when analysing causal relationships between Bitcoin returns and trading volume. We show, however, that volume cannot help predict the volatility of Bitcoin returns at any point of the conditional distribution.

Keywords: C22; G15; Bitcoin; Volume; Returns; Volatility; Nonparametric quantile causality (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999317304558
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:ecmode:v:64:y:2017:i:c:p:74-81

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2018-01-17
Handle: RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81