A1400
Title: Trading volume in cryptocurrency markets
Authors: Alexander Dickerson - Warwick Business School - University of Warwick (United Kingdom) [presenting]
Daniele Bianchi - University of Warwick (United Kingdom)
Abstract: The value of trading volume in cryptocurrency markets is studied, contributing to a growing literature that aims to understand the role of cryptocurrencies as investment. The main results show that the interaction between lagged volume and past returns have a significant predicting power for future returns. Such predictive power is economically significant; an investment strategy that conditions on past returns and volume generates a substantial Sharpe ratio with zero correlation with Bitcoin and Ethereum dollar returns. These results are consistent with existing theoretical models that postulate that is primarily ``speculation'' on private information that generates the observed returns dynamics.
