CAUSAL RELATIONSHIP BETWEEN BITCOIN PRICE VOLATILITY AND TRADING VOLUME: ROLLING WINDOW APPROACH

Nebiye Yamak, Rahmi Yamak and Serkan Samut
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Nebiye Yamak: Karadeniz Technical University, Faculty of Economics and Administrative Sciences, Department of Economics, Trabzon, Turkey.
Rahmi Yamak: Karadeniz Technical University, Faculty of Economics and Administrative Sciences, Department of Econometrics, Trabzon, Turkey.
Serkan Samut: Karadeniz Technical University, Faculty of Economics and Administrative Sciences, Department of Econometrics, Trabzon, Turkey.

Studii Financiare (Financial Studies), 2019, vol. 23, issue 3, 6-20

Abstract: This study investigates the causal relationship between price volatility and trading volume for bitcoin which is the first cryptocurrency. Data are daily and cover the period starting from December 27, 2013 to March 3, 2019. Price volatility series was produced by using EGARCH model. The Toda-Yamamoto causality test was applied under rolling window approach. According to the Granger causality test, there is a strong causal relationship running from the trading volume to the price volatility. There also exists a causality running from price volatility to volume. But this causality is not statistically strong. At the same time, a positive and significant contemporaneous correlation was found between the two variables. Both findings support the sequential information arrival hypothesis for the bitcoin market. Classification-JEL: C22, G14

Keywords: sequential information arrival hypothesis; Toda-Yamamoto causality; cryptocurrency (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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