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Cited by 245

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RETRACTED: Trading volume and the predictability of return and volatility in the cryptocurrency market

Open access
Bouri, Elie, Lau, Chi Keung Marco, Lucey, Brian, Roubaud, David·2019·Finance Research Letters
DOI 10.1016/j.frl.2018.08.015
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Abstract

We extend our limited understanding on the Granger causality from trading volume to the returns and volatility in the cryptocurrency market via a copula-quantile causality approach. Using daily data of seven leading cryptocurrencies (Bitcoin, Ripple, Ethereum, Litecoin, Nem, Dash, and Stellar), results show that trading volume Granger causes extreme negative and positive returns of all cryptocurrencies under study. However, volume Granger causes return volatility for only three cryptocurrencies (Litecoin, NEM, and Dash) when the volatility is low. However, this latter result only holds when squared returns are used as a proxy of volatility and not when GARCH volatility is employed.

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Metadata

Authors
Bouri, E., Lau, C. K. M., Lucey, B., & Roubaud, D.
Venue
Finance Research Letters
Publisher
Elsevier BV
Published
2019-06
Volume
29
Pages
340-346
ISSN
1544-6123 (ISSN-L)
DOI
10.1016/j.frl.2018.08.015
OpenAlex
W2888860656
Cited by
245
References
0
FWCI
28.80
Type
journal article
Language
en
Status
Retracted
Open access
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CoChat. (2026). Citation check: RETRACTED: Trading volume and the predictability of return and volatility in the cryptocurrency market. https://app.cochat.ai/papers/10.1016/j.frl.2018.08.015
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Bouri, E., Lau, C. K. M., Lucey, B., & Roubaud, D. (2019). RETRACTED: Trading volume and the predictability of return and volatility in the cryptocurrency market. Finance Research Letters. https://doi.org/10.1016/j.frl.2018.08.015

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.