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dc.contributor.authorGemici, E. and Polat, M.
dc.date.accessioned2021-04-08T12:06:42Z
dc.date.available2021-04-08T12:06:42Z
dc.date.issued2019
dc.identifier10.1108/JRF-07-2018-0111
dc.identifier.issn15265943
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85075590961&doi=10.1108%2fJRF-07-2018-0111&partnerID=40&md5=11584bbfa6259c5d1667a1be46eb317e
dc.identifier.urihttp://acikerisim.bingol.edu.tr/handle/20.500.12898/4046
dc.description.abstractPurpose: Bitcoin has recently become the focal point of investors as a digital currency and an alternative payment method. Despite Bitcoin being in the spotlight, a gap in the literature on its price-setting behaviors has been observed. This study aims to contribute to the literature by investigating the relationship between Bitcoin price and volume in the period between January 1, 2012 and April 7, 2018 through a symmetric and asymmetric causality test. Design/methodology/approach: Daily price and volume data relevant to Bitcoin traded in the Bitstamp market were obtained from www.bitcoincharts.com. Within the framework of data applicable for analysis, the data set for this study includes a total of 2,286 observations for the period between January 1, 2012 and April 7, 2018. Findings: Based on the results of the standard causality test, a causality relationship was determined from price to volume. Based on the results of the asymmetric causality test between positive and negative shocks of variables, a unilateral causality relationship was determined from negative shocks in Bitcoin prices to negative shocks in trading volume as well as from positive shocks in trading volume to positive shocks in prices. Furthermore, it was found that the relationship between Bitcoin price and volume is cointegrated. Practical implications: The empirical results can be used by investors and portfolio managers to make trading decisions. Originality/value: The contribution of this paper to the literature is that it is the first study on the symmetric and asymmetric causality relationship between Bitcoin price and volume. Moreover, this paper reveals short- and long-term behaviors of Bitcoin using the cointegration test used for determining the long-term relationship between Bitcoin price and volume. © 2019, Emerald Publishing Limited.
dc.language.isoEnglish
dc.sourceJournal of Risk Finance
dc.titleRelationship between price and volume in the Bitcoin market


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