dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Roubaud, David
|
|
dc.date.accessioned |
2017-04-24T11:04:30Z |
|
dc.date.issued |
2017-08 |
|
dc.description.abstract |
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-inquantiles
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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2018-08-31 |
|
dc.description.librarian |
hb2017 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/ecmod |
en_ZA |
dc.identifier.citation |
Balcilar, M, Bouri, E, Gupta, R & Roubaud, D 2017, 'Can volume predict Bitcoin returns and volatility? A quantiles-based approach', Economic Modelling, vol. 64, pp. 74-81. |
en_ZA |
dc.identifier.issn |
0264-9993 (print) |
|
dc.identifier.issn |
1873-6122 (online) |
|
dc.identifier.other |
10.1016/j.econmod.2017.03.019 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/60028 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2017 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economic Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economic Modelling, vol. 64, pp. 74-81, 2017. doi : 10.1016/j.econmod.2017.03.019. |
en_ZA |
dc.subject |
Bitcoin |
en_ZA |
dc.subject |
Volume |
en_ZA |
dc.subject |
Returns |
en_ZA |
dc.subject |
Volatility |
en_ZA |
dc.subject |
Nonparametric quantile causality |
en_ZA |
dc.title |
Can volume predict Bitcoin returns and volatility? A quantiles-based approach |
en_ZA |
dc.type |
Postprint Article |
en_ZA |