2021. December 07. 10:22

Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?

Serkan Samut
University Professor, Department of Econometrics, Faculty of Economics
and Administrative Sciences, Karadeniz Technical University, Ortahisar/
Trabzon, Turkey

Rahmi Yamak
University Professor, Department of Econometrics, Faculty of Economics
and Administrative Sciences, Karadeniz Technical University, Ortahisar/
Trabzon, Turkey

Published in: Public Finance Quarterly 2021/4. (p. 517-534.)


Summary: 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.

Keywords: Cryptocurrency Market, Covid-19, Return Volatility, Trading Volume

JEL-codes: C32, G12, G15

DOI: https://doi.org/10.35551/PFQ_2021_4_4 


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