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On the dynamic relationship between transaction volume and returns: evidence from the cryptocurrency market

Yosra Ghabri (Higher Institute of Finance and Taxation Sousse – Laboratory of Applied Economics and Finance, University of Carthage, Tunis, Tunisia) (Center of Research for Energy and Climate Change (CRECC), Paris, France)
Marjène Rabah Gana (HEC Montréal, Quebec, Canada)

Journal of Economic and Administrative Sciences

ISSN: 2054-6238

Article publication date: 14 March 2023




Using vector autoregressive modelling (VAR) and Granger causality tests, this paper attempts to empirically investigate the dynamic relationship between return and volume of transactions of two main cryptocurrencies: Bitcoin and Ethereum.


Based on a generalized autoregressive conditional heteroskedasticity (GARCH) model with a transaction volume parameter in the conditional volatility equation.


The results provide empirical evidence of a positive contemporaneous relationship between the variation in transaction volume and the daily return of Bitcoin and Ethereum. The results also show that the conditional volatility of the returns is affected by the past volatility, which implies weak-form inefficiency for both Bitcoin and Ethereum markets. The results of the VAR model, testing Granger causality, indicate that the volume of transactions Granger-Causes Bitcoin and Ethereum returns. Furthermore, the findings show a Granger causal relation from returns to volume.


This result suggests that cryptocurrency returns can predict transaction volumes and vice versa.



Ghabri, Y. and Gana, M.R. (2023), "On the dynamic relationship between transaction volume and returns: evidence from the cryptocurrency market", Journal of Economic and Administrative Sciences, Vol. ahead-of-print No. ahead-of-print.



Emerald Publishing Limited

Copyright © 2023, Emerald Publishing Limited

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