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

Elie Bouri (), Chi Keung Lau, Brian Lucey and David Roubaud ()

Finance Research Letters, 2019, vol. 29, issue C, 340-346

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; Return; Volatility; Cryptocurrency; Copula-quantile causality (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (97)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:340-346

DOI: 10.1016/j.frl.2018.08.015

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