Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship

Abstract

Cryptocurrencies have emerged as an important investment avenue in the past few years. Investors are increasingly interested in these currencies amid surging financial returns. In this context, understanding market efficiency of cryptocurrency has become very crucial for investors and academicians. The price–volume framework is a popular approach in financial economics to understand the market efficiency of stocks in the stock markets. Therefore, this article examines the market efficiency of cryptocurrencies through price–volume framework to understand whether crypto market is predictable. Towards this objective, data on both return and trading volume (TV) of the top eight cryptocurrencies are used for the period 8 August 2015–20 October 2022. As an empirical method, both linear and non‐linear causality models are used to validate the hypothesis. Our results confirm that TV cannot predict the cryptocurrencies' return, thereby validating the market efficiency hypothesis. Furthermore, we divide the sample according to the structural break period. The result from the post‐break period analysis also confirms the presence of market efficiency in the recent period for all currencies, barring XRP, XMR and DASH.

Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective

“…Tese fndings imply that the dominant direction of the information fow is from volume changes to returns. Tis result difers from the dominant direction found in the Bitcoin spot market by Sahoo and Sethi [5,56]. Sahoo found that returns Granger caused volumes but not vice versa [5].…”

“…Tis result difers from the dominant direction found in the Bitcoin spot market by Sahoo and Sethi [5,56]. Sahoo found that returns Granger caused volumes but not vice versa [5]. Fousekis and Tzaferi found that spillover from returns to volumes was stronger than that in the opposite direction [56].…”

“…According to equation ( 5), it can be known that TE is nonnegative and nonsymmetric. 3) and (5) show that MI and TE can be calculated through the sum of DEs. Due to the good performance of the KDE method, we employ it to estimate the DEs in the two equations.…”

“…Price-volume relationship in fnancial markets is an important issue. It provides insights into the market structure and helps assess market efciency [4,5]. Previous studies on this question can be roughly grouped into two categories.…”

Challenges and Legal Aspects of Financing Projects Through Cryptocurrencies in Iran

“…Although numerous systematic literature reviews have been published on various aspects of digital payments, the literature review presented in this paper is deliberately brief (Sahoo and Sethi, 2022).…”