Anglia Ruskin University
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Exploring the nexus between price and volume changes in the cryptocurrency market

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journal contribution
posted on 2023-08-22, 10:50 authored by Nataliia Osina, Adeyinka Adediran, Bola Babajide
The analysis of the price–volume relationship offers valuable insights into the underlying dynamics of financial markets, enabling investors and market participants to make informed inferences based on the data derived from price and volume. This concept has extensively been studied in the stock market, while it remained understudied in the cryptocurrency trading system. The study aims to contribute to the literature by examining the causal relationship between price changes and trad- ing volume for the top three cryptocurrencies (Bitcoin, Ethereum and Tether) listed on CoinMarketCap. Previous research that examined causal relationship focused on Bitcoin and Ethereum, while neglecting Tether, which is often used by inves- tors to avoid price volatility. The study employs correlation matrix, vector autoregression Model, and granger causality to conduct the analysis of the research. The data for this study were extracted from CoinMarketCap, which provides the daily closing price and 24 hours traded volume of the top three cryptocurrencies from January 1, 2016 to December 31, 2021. The outcome of the preliminary study suggested that there is a positive significant price–volume relationship for Bitcoin and Ethereum, while there is a negative relationship for Tether. Furthermore, the study exhibits that there is a unidirectional causality between price return and volume change of Bitcoin and Ethereum, while there is no evidence of causality for Tether. Therefore, the empirical results establish the reliability of variable forecasting, empowering market participants and investors to make informed investment decisions.



  • Yes

Publication title

The Journal of Asset Management




Palgrave Macmillan


United Kingdom


de Jong M, diBartolomeo D

File version

  • Published version


  • eng

Item sub-type


Affiliated with

  • School of Economics, Finance and Law Outputs


Adediran, A., Babajide, B. & Osina, N. Exploring the nexus between price and volume changes in the cryptocurrency market. J Asset Manag (2023).

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