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The relationship between trend and volume on the bitcoin market

Author

Listed:
  • Beata Szetela

    (Rzeszów University of Technology)

  • Grzegorz Mentel

    (Rzeszów University of Technology)

  • Yuriy Bilan

    (Tomas Bata University in Zlín)

  • Urszula Mentel

    (Rzeszów University of Technology)

Abstract

The aim of the paper is to verify the existence of short- and long-term relationships between the strength of a trend and the volume in bullish and bearish cryptocurrency markets. We applied the vector error correction model to bitcoin daily data from 14.01.2015 to 22.12.2019. Based on the prices and following Wilder’s algorithm, the average directional movement index was calculated, and upward and downward trend periods were determined. No long-term relationship was found to exist between the strength of a trend and the volume in both bearish and bullish markets. Hence, trends do not react to volume changes. However, a long-term relationship exists between volume and trend—but only for the downward trend—with an adjustment speed of 88%. In the short-term, a statistically significant but very weak dependency is revealed; hence, the conclusion that trend strength is insensitive to volume changes can be reached.

Suggested Citation

  • Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.
    • Handle: RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-021-00166-5
    DOI: 10.1007/s40822-021-00166-5
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    Cited by:

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    2. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
    3. Zhao, Xin & Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Vasa, László & Shahzad, Umer, 2023. "Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 112-131.
    4. Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
    5. Clement Moyo & Andrew Phiri, 2023. "Re-Examining Bitcoin’s Price–Volume Relationship: A Time-Varying Spectral Analysis," JRFM, MDPI, vol. 16(7), pages 1-16, July.
    6. Jong-Min Kim & Chanho Cho & Chulhee Jun, 2022. "Forecasting the Price of the Cryptocurrency Using Linear and Nonlinear Error Correction Model," JRFM, MDPI, vol. 15(2), pages 1-10, February.
    7. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    8. Corina-Narcisa (Bodescu) Cotoc & Maria Nițu & Mircea Constantin Șcheau & Adeline-Cristina Cozma, 2021. "Efficiency of Money Laundering Countermeasures: Case Studies from European Union Member States," Risks, MDPI, vol. 9(6), pages 1-19, June.

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    More about this item

    Keywords

    VECM; VAR; ADX; Volume; Long-run; Bitcoin; Cryptocurrency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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