Intraday Volume-Return Nexus in Cryptocurrency Markets: Novel Evidence From Cryptocurrency Classification

45 Pages Posted: 28 Nov 2020 Last revised: 17 Nov 2021

See all articles by Larisa Yarovaya

Larisa Yarovaya

University of Southampton - Southampton Business School

Damian Zięba

University of Warsaw, Faculty of Economic Sciences

Date Written: October 14, 2020

Abstract


This paper analyses the volume-return relationships across the top 30 most traded cryptocurrencies from April 2013 to June 2019 using high-frequency intraday data. We use a novel approach for the classification of cryptocurrencies with respect to multiple qualitative factors, such as geographical location of headquarters, founder and founder’s origin, platform on which the cryptocurrency is built, and consensus algorithm, among others. We identify significant bidirectional causalities between trading volume and returns at different high-frequency intervals; however, those linkages are weakening with decreasing data frequencies. The findings confirm the leading position of the Bitcoin trading volume in the cryptocurrency price formation. This evidence will help investors to design effective trading strategies in cryptocurrency markets providing useful insights from cryptocurrency categorisation.

Keywords: cryptocurrency classification, Bitcoin, volume-return relationships, Granger causality.

JEL Classification: G12, G14

Suggested Citation

Yarovaya, Larisa and Zięba, Damian, Intraday Volume-Return Nexus in Cryptocurrency Markets: Novel Evidence From Cryptocurrency Classification (October 14, 2020). Available at SSRN: https://ssrn.com/abstract=3711667 or http://dx.doi.org/10.2139/ssrn.3711667

Larisa Yarovaya (Contact Author)

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

Damian Zięba

University of Warsaw, Faculty of Economic Sciences ( email )

ul. Dluga 44/50
Warsaw, Mazowieckie 00-241
Poland

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