Samut, Serkan and Yamak, Rahmi (2021) Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies? PÉNZÜGYI SZEMLE/PUBLIC FINANCE QUARTERLY, 66 (4). pp. 517-534. ISSN 0031-496X (nyomtatott); 2064-8278 (online)
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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.
| Item Type: | Article |
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| Subjects: | H Social Sciences / társadalomtudományok > HG Finance / pénzügy Q Science / természettudomány > QA Mathematics / matematika > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány |
| Depositing User: | Andrea Tankó |
| Date Deposited: | 02 Mar 2022 15:59 |
| Last Modified: | 02 Mar 2022 15:59 |
| URI: | http://real.mtak.hu/id/eprint/138360 |
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