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Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach

Author

Listed:
  • Kais Tissaoui

    (University of Hail,Saudi Arabia . The IFG & FSEGT, University of Tunis El Manar, Tunisia)

  • Taha Zaghdoudi

    (University of Hail,Saudi Arabia. LAREQUAD & FSEGT, University of Tunis El Manar, Tunisia.)

  • Khaled issa Alfreahat

    (University of Hail, Community College,Saudi Arabia.)

Abstract

This paper examines two competing hypotheses, that is, mixture of distribution hypothesis (MDH) and sequential information arrival hypothesis (SIAH) in the cryptocurrency market using high-frequency data. Specifically, we attempt to test the explanatory power of intraday public information arrival for Bitcoin returns and volatility over the period from January 1, 2019 to May 16, 2019. Based on AR (2)-PGARCH (1.1. δ), the empirical results reveal the following: First, we find more evidence to support the MDH than the SIAH since the current trading volume participates to absorb the persistence of Bitcoin volatility stronger than the lagged trading volume. Second, solid evidence of the instantaneous effect of intraday trading volume on intraday Bitcoin returns is verified more than the lagged effect, which supports the MDH rather than the SIAH.

Suggested Citation

  • Kais Tissaoui & Taha Zaghdoudi & Khaled issa Alfreahat, 2020. "Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach," Economics Bulletin, AccessEcon, vol. 40(3), pages 2085-2092.
    • Handle: RePEc:ebl:ecbull:eb-20-00269
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cryptocurrency market; Information flow; Intraday Bitcoin return; Intraday trading volume; Bitcoin volatility.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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