Cryptocurrency Market Activity During Extremely Volatile Periods

33 Pages Posted: 2 Aug 2018

See all articles by Paraskevi Katsiampa

Paraskevi Katsiampa

Sheffield University Management School

Konstantinos Gkillas

University of Patras - Business Administration

François Longin

ESSEC Business School

Date Written: May 01, 2018

Abstract

Using daily data for eight major cryptocurrencies and bivariate extreme value theory (peaks-over-threshold method), this study examines the extreme dependence between returns and trading volumes in the cryptocurrency market. It is shown that, irrespective of the cryptocurrency under consideration, the extreme correlation between return and volume decreases as we move towards the distribution tails, supporting previous claims of cryptocurrencies resembling assets. We also find evidence of asymmetric return-volume relationship in the cryptocurrency market, as a result of discrepancies in the correlation between positive and negative return exceedances across all the cryptocurrencies. Our results have significant implications for better understanding the activity of market participants during extreme events in cryptocurrency markets.

Keywords: Bitcoin, Cryptocurrency, Trading Volume, Return-Volume Dependence, Extreme Returns

JEL Classification: C46, F38, G01, G32

Suggested Citation

Katsiampa, Paraskevi and Gkillas, Konstantinos and Longin, François, Cryptocurrency Market Activity During Extremely Volatile Periods (May 01, 2018). Available at SSRN: https://ssrn.com/abstract=3220781 or http://dx.doi.org/10.2139/ssrn.3220781

Paraskevi Katsiampa

Sheffield University Management School ( email )

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

Konstantinos Gkillas (Contact Author)

University of Patras - Business Administration ( email )

Patras
Greece

HOME PAGE: http://www.gillas.gr

François Longin

ESSEC Business School ( email )

Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
France

HOME PAGE: http://www.essec.edu/faculty/francois-longin

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