TY - JOUR
T1 - Trading volume and the predictability of return and volatility in the cryptocurrency market
AU - Bouri, Elie
AU - Lau, Chi Keung Marco
AU - Lucey, Brian
AU - Roubaud, David
N1 - Publisher Copyright:
© 2018
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/6/12
Y1 - 2019/6/12
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85053069298&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2018.08.015
DO - 10.1016/j.frl.2018.08.015
M3 - Article
AN - SCOPUS:85053069298
SN - 1544-6123
VL - 29
SP - 340
EP - 346
JO - Finance Research Letters
JF - Finance Research Letters
ER -