Technological heterogeneity and the asymmetric volume–return relationship in the crypto-asset market

This study examines the asymmetric, heterogeneous, and time-varying relationship between trading volume and returns in the crypto-asset market, with particular attention to the role of technological development. The analysis covers the period 2015–2023 and distinguishes three technological categories of assets—cryptocurrencies, smart-contract platforms, and decentralised applications (dApps)—alongside four subsamples that differ in their technological composition as the market evolves. This structure makes it possible to assess both cross-sectional heterogeneity and changes over time associated with major speculative cycles. Two complementary panel estimators are employed. The panel-corrected standard errors (PCSE) estimator provides precise short-run coefficients under contemporaneous correlation, while the heterogeneous ARDL–CCE–MG model allows the short- and long-run dynamics to vary across assets and accounts for unobserved common factors. The results are highly consistent across methods. First, the volume–return relationship exhibits a pronounced asymmetry: positive returns generate markedly stronger trading responses than negative ones. Second, the strength and direction of these effects differ across technological groups, reflecting the diverse economic roles of the assets. Third, the relationship changes substantially over time. During the 2017 and 2021 bubble episodes, volume–return effects converge across groups, while in calmer periods they diverge, especially between cryptocurrencies and more technologically advanced assets. Overall, the evidence indicates that technological progress in the crypto-asset ecosystem contributes to more stable volume–return dynamics and greater investor confidence, particularly among assets that play an infrastructural role. These findings highlight the importance of distinguishing asset categories and market phases when analysing short-run crypto-asset behaviour.