Relationship between price and volume in the Bitcoin market

Eray Gemi̇ci̇ · Müslüm Polat

25 citations0/0 files storedThe Journal of Risk Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Purpose Bitcoin has recently become the focal point of investors as a digital currency and an alternative payment method. Despite Bitcoin being in the spotlight, a gap in the literature on its price-setting behaviors has been observed. This study aims to contribute to the literature by investigating the relationship between Bitcoin price and volume in the period between January 1, 2012 and April 7, 2018 through a symmetric and asymmetric causality test. Design/methodology/approach Daily price and volume data relevant to Bitcoin traded in the Bitstamp market were obtained from www.bitcoincharts.com . Within the framework of data applicable for analysis, the data set for this study includes a total of 2,286 observations for the period between January 1, 2012 and April 7, 2018. Findings Based on the results of the standard causality test, a causality relationship was determined from price to volume. Based on the results of the asymmetric causality test between positive and negative shocks of variables, a unilateral causality relationship was determined from negative shocks in Bitcoin prices to negative shocks in trading volume as well as from positive shocks in trading volume to positive shocks in prices. Furthermore, it was found that the relationship between Bitcoin price and volume is cointegrated. Practical implications The empirical results can be used by investors and portfolio managers to make trading decisions. Originality/value The contribution of this paper to the literature is that it is the first study on the symmetric and asymmetric causality relationship between Bitcoin price and volume. Moreover, this paper reveals short- and long-term behaviors of Bitcoin using the cointegration test used for determining the long-term relationship between Bitcoin price and volume.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1995Statistical inference in vector autoregressions with possibly integrated processes 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2016The Inefficiency of Bitcoin 2017Volatility estimation for Bitcoin: A comparison of GARCH models

Cited by

2024Bubbles in Bitcoin and Ethereum: The role of halving in the formation of super cycles

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.