EconPapers    
Economics at your fingertips  
 

Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?

Serkan Samut () and Rahmi Yamak ()
Additional contact information
Serkan Samut: Department of Econometrics, Faculty of Economics and Administrative Sciences, Karadeniz Technical University
Rahmi Yamak: Prof. Dr., Department of Econometrics, Faculty of Economics and Administrative Sciences, Karadeniz Technical University

Public Finance Quarterly, 2021, vol. 66, issue 4, 517 - 534

Abstract: In this study, it was investigated whether the Covid-19 pandemic, which started to affect the world in early 2020, influenced the relationship between return volatility and trading volume in the cryptocurrency market. In the empirical part of the study, 40 cryptocurrencies were included in the analysis. The data were divided into two separate periods as before and during the pandemic. Two alternative estimators developed by Garman and Klass (1980) and by Rogers and Satchell (1991) were used to measure the return volatility of cryptocurrencies. With causality and simultaneous correlation analyses, it was determined that the sequential information arrival hypothesis was valid in the cryptocurrency market in the pre-pandemic period. In the pandemic period, the sequential information arrival hypothesis lost its effect and left its place to the mixture of distribution hypothesis.

Keywords: Cryptocurrency Market; Covid-19; Return Volatility; Trading Volume (search for similar items in EconPapers)
JEL-codes: C32 G12 G15 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.penzugyiszemle.hu/upload/pdf/penzugyi_ ... mut-Yamak_2021_4.pdf (application/pdf)

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:pfq:journl:v:66:y:2021:i:4:p:517-534

Access Statistics for this article

Public Finance Quarterly is currently edited by Erzsebet Nemeth

More articles in Public Finance Quarterly from State Audit Office of Hungary
Bibliographic data for series maintained by Pal Peter Kolozsi ( this e-mail address is bad, please contact ).

 
Page updated 2021-12-09
Handle: RePEc:pfq:journl:v:66:y:2021:i:4:p:517-534