کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053134 1476505 2017 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can volume predict Bitcoin returns and volatility? A quantiles-based approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Can volume predict Bitcoin returns and volatility? A quantiles-based approach
چکیده انگلیسی


- Examine causal relation between Bitcoin return/volatility and traded volume.
- Detect nonlinearity and structural breaks in the return-volume relationship.
- Misspecified linear causality test shows no evidence of causality.
- Use instead nonparametric causality in quantile test.
- Reveal that volume can predict returns, but not volatility, at some quantiles.

Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional mean of the returns distribution. This study employs in contrast a non-parametric causality-in-quantiles test to analyse the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective conditional distributions. The nonparametric characteristics of our test control for misspecification due to nonlinearity and structural breaks, two features of our data that cover 19th December 2011 to 25th April 2016. The causality-in-quantiles test reveals that volume can predict returns - except in Bitcoin bear and bull market regimes. This result highlights the importance of modelling nonlinearity and accounting for the tail behaviour when analysing causal relationships between Bitcoin returns and trading volume. We show, however, that volume cannot help predict the volatility of Bitcoin returns at any point of the conditional distribution.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 64, August 2017, Pages 74-81
نویسندگان
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