The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling

【Author】 Sapuric, Svetlana; Kokkinaki, Angelika; Georgiou, Ifigenia

【Source】JOURNAL OF ENTERPRISE INFORMATION MANAGEMENT

【影响因子】5.661

【Abstract】Purpose - To show that when volume of trades is taken into consideration, Bitcoin does not seem as volatile as it claimed. Further, to study the relationship between Bitcoin trading volume, volatility and returns, and the asymmetry in response to economic information for the period from July 2010 to November 2017. Design/methodology/approach - Comparison of Bitcoin price volatility with that of six currencies and gold. We repeat the analysis using returns divided by volume. We examine the relationship between volume, returns and volatility, and the asymmetry of the reaction of the volatility to economic news using asymmetric models (EGARCH) run for four meaningful distinct time periods/subsamples. Findings - Positive and significant relationship between (1) volume and volatility after 2013 (year Bitcoin became popular) and (2) volume and returns before the Mt. Gox hack. During the euphoric period, starting at the beginning of 2013 until the Mt. Gox hack, unexpected increases in Bitcoin returns increased Bitcoin volatility more than unexpected, equally sized decreases (asymmetry). Originality/value - We take into consideration the volume of trades to show that Bitcoin volatility seems high because of the low volume of trades. We study an extended time period, not covered by other studies. We divide our sample into four meaningful time periods based on important events in Bitcoin market history. This is important for a new market such as the Bitcoin market; the relationships under study are very important in markets where participants rely on technical analysis in the absence of reliable fundamental methodology to measure the intrinsic value of the asset.

【Keywords】Volatility; Volume; GARCH; Asymmetry; Bitcoin; Cryptocurrency

【发表时间】2022 NOV 24

【收录时间】2022-12-23

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析