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

Elie Bouri; Chi Keung Marco Lau; Brian Lucey; David Roubaud

doi:10.1016/j.frl.2018.08.015

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

Elie Bouri
, Chi Keung Marco Lau
, Brian Lucey
, David Roubaud

Research output: Contribution to journal › Article › peer-review

39 Citations (Scopus)

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.

Original language	English
Pages (from-to)	340-346
Number of pages	7
Journal	Finance Research Letters
Volume	29
DOIs	https://doi.org/10.1016/j.frl.2018.08.015
Publication status	Published - 12 Jun 2019

Bibliographical note

Publisher Copyright:
© 2018

Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.

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10.1016/j.frl.2018.08.015

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title = "Trading volume and the predictability of return and volatility in the cryptocurrency market",

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.",

author = "Elie Bouri and Lau, \{Chi Keung Marco\} and Brian Lucey and David Roubaud",

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AU - Bouri, Elie

AU - Lau, Chi Keung Marco

AU - Lucey, Brian

AU - Roubaud, David

PY - 2019/6/12

Y1 - 2019/6/12

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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.

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JO - Finance Research Letters

JF - Finance Research Letters

ER -

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

Abstract

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