Causal relationship between bitcoin price volatility and trading volume: Rolling window approach

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 isnot 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.

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Year of publication:	2019
Authors:	Yamak, Nebiye ; Yamak, Rahmi ; Samut, Serkan
Published in:	Financial Studies. - Bucharest : Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research, ISSN 2066-6071. - Vol. 23.2019, 3 (85), p. 6-20
Publisher:	Bucharest : Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
Subject:	sequential information arrival hypothesis \| Toda-Yamamoto causality \| cryptocurrency

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	1687451664 [GVK] hdl:10419/231681 [Handle]
Classification:	C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10012484784