IDEAS home Printed from https://ideas.repec.org/a/pfq/journl/v66y2021i4p517-534.html
   My bibliography  Save this article

Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?

Author

Listed:
  • Serkan, Samut
  • Yamak, Rahmi

Abstract

In this study, it was investigated whether the Covid-19 pandemic, which started to affect the world in early 2020, influenced the relationship between return volatility and trading volume in the cryptocurrency market. In the empirical part of the study, 40 cryptocurrencies were included in the analysis. The data were divided into two separate periods as before and during the pandemic. Two alternative estimators developed by Garman and Klass (1980) and by Rogers and Satchell (1991) were used to measure the return volatility of cryptocurrencies. With causality and simultaneous correlation analyses, it was determined that the sequential information arrival hypothesis was valid in the cryptocurrency market in the pre-pandemic period. In the pandemic period, the sequential information arrival hypothesis lost its effect and left its place to the mixture of distribution hypothesis.

Suggested Citation

  • Serkan, Samut & Yamak, Rahmi, 2021. "Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(4), pages 517-534.
    • Handle: RePEc:pfq:journl:v:66:y:2021:i:4:p:517-534
    DOI: https://doi.org/10.35551/PFQ_2021_4_4
    as

    Download full text from publisher

    File URL: https://unipub.lib.uni-corvinus.hu/8605/
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.35551/PFQ_2021_4_4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.

    More about this item

    Keywords

    Cryptocurrency Market; Covid-19; Return Volatility; Trading Volume;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pfq:journl:v:66:y:2021:i:4:p:517-534. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adam Hoffmann (email available below). General contact details of provider: https://edirc.repec.org/data/bkeeehu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.