The Relationship Between the Popularity of Cryptocurrencies and their Prices, Returns and Trading Volumes: A Structural Break and Comparative Analysis

Mustafa Özyeşi̇l ()
Additional contact information
Mustafa Özyeşi̇l: Istanbul Aydın University, Anadolu BIL Vocational School, Department of Business Administration, Istanbul, Turkey

Istanbul Journal of Economics-Istanbul Iktisat Dergisi, 2019, vol. 69, issue 2, 133-157

Abstract: In this study, the relationship between the popularity of cryptocurrencies and their price, return and trading volumes are examined through time series analysis. The popularity variable is determined according the frequency of cryptocurrencies being searched on the internet. Stationarity of series is examined by Vogelsang and Perron (1998) structural breaks ADF unit root test. According to the test results, all series are found to be stationary at level values. VAR analyses and impulse-response functions are performed to reveal dynamic interaction between the series. According to impulse - response test results, returns of BITCOIN decreased against a decreasing shock in the number searches on the internet and its price and trading volume followed a fluctuating course. In order to see the causality relationship between variables the Granger causality test is conducted. Regression analyses are performed using ordinary least squares (OLS) method through three different equations. According to the result of the regression analysis, an increase in the number of internet searches for cryptocurrencies was found to positively affect prices, returns and trading volumes of all cryptocurrencies. The highest impact on prices and trading volume is observed in BITCOIN, while the highest effect on returns is observed in LITECOIN. According to the findings, popularity can be considered an important determinant for price, returns and trading volumes of cryptocurrencies.

Keywords: Crypto currencies; popularity; structural break analysis; var analysis (search for similar items in EconPapers)
JEL-codes: C31 C33 C51 C58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/911647 (application/pdf)
https://dergipark.org.tr/tr/pub/istjecon/issue/51430/668134 (text/html)

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:ist:journl:v:69:y:2019:i:2:p:133-157

DOI: 10.26650/ISTJECON2019-0017

Access Statistics for this article

Istanbul Journal of Economics-Istanbul Iktisat Dergisi is currently edited by Gökhan Karabulut

More articles in Istanbul Journal of Economics-Istanbul Iktisat Dergisi from Istanbul University, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Istanbul University Press Operational Team (Ertuğrul YAŞAR) ().