The relationship between trend and volume on the bitcoin market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F21%3A63528718" target="_blank" >RIV/70883521:28120/21:63528718 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s40822-021-00166-5#Sec2" target="_blank" >https://link.springer.com/article/10.1007/s40822-021-00166-5#Sec2</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s40822-021-00166-5" target="_blank" >10.1007/s40822-021-00166-5</a>

Result language
angličtina
Original language name
The relationship between trend and volume on the bitcoin market
Original language description
The aim of the paper is to verify the existence of short- and long-term relationships between the strength of a trend and the volume in bullish and bearish cryptocurrency markets. We applied the vector error correction model to bitcoin daily data from 14.01.2015 to 22.12.2019. Based on the prices and following Wilder’s algorithm, the average directional movement index was calculated, and upward and downward trend periods were determined. No long-term relationship was found to exist between the strength of a trend and the volume in both bearish and bullish markets. Hence, trends do not react to volume changes. However, a long-term relationship exists between volume and trend—but only for the downward trend—with an adjustment speed of 88%. In the short-term, a statistically significant but very weak dependency is revealed; hence, the conclusion that trend strength is insensitive to volume changes can be reached.
Czech name
—
Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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