The asymmetric relationships between the Bitcoin futures' return, volatility, and trading volume

【Author】 Kao, Yu-Sheng; Zhao, Kai; Chuang, Hwei-Lin; Ku, Yu-Cheng

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】This study investigated the asymmetric contemporaneous and lead-lag relationships between return and trading volume as well as return volatility and volume on the Bitcoin futures by analyzing the threshold and smooth transition effects based on the logistic smooth transition regression (LSTR) model with the logistic smooth transition GJR-GARCH framework. The main findings demonstrated that the asymmetric and smooth transition effects existed in both the contemporaneous and lead-lag return-volume and volatility-volume relationships. There were also a one-trading-day to three-trading-day delayed effects from volume to return and volatility. The implication of the findings suggests that there are arbitrage opportunities for investors in the Bitcoin futures market. Furthermore, we confirm that the Mixture of Distribution Hypothesis (MDH) was a better theory than the Sequential Information Arrival Hypothesis (SIAH) in explaining the volatility-volume relationships on the Bitcoin futures. Our findings also showed that the speed of information transmission increased as it got closer to the current trading day. This evidence supported the MDH in the Bitcoin futures market.

【Keywords】Trading volume; Volatility; Logistic smooth transition regression; GJR-GARCH; Bitcoin futures

【发表时间】2024 JAN

【收录时间】2023-09-12

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