The relationship between trend and volume on the bitcoin market
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The relationship between trend and volume on the bitcoin market
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
The relationship between trend and volume on the bitcoin market
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>SC</sub> - Článek v periodiku v databázi SCOPUS
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
—
Návaznosti
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Ostatní
Rok uplatnění
2021
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Eurasian Economic Review
ISSN
1309-422X
e-ISSN
—
Svazek periodika
11
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
DE - Spolková republika Německo
Počet stran výsledku
18
Strana od-do
25-42
Kód UT WoS článku
000622216700001
EID výsledku v databázi Scopus
2-s2.0-85101754549