Working paper
The Negative Abnormal Volume Return Relation in Cryptocurrency
SSRN
02/02/2023
DOI: 10.2139/ssrn.4345640
Abstract
In contrast to the positive relationship between abnormal volume and returns in equities (e.g. Gervais et al., 2001), we document a negative relation in cryptocurrencies. Our results are not explained by common risk factors nor by various coin characteristics. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller (1977)’s model: when short sale constraints are binding, high abnormal volume (high disagreement) assets experience lower future returns. Further supporting Miller (1977), these same conditions associate with higher contemporaneous order imbalance, and ex-post decreases in both buying and selling activities, with the former exceeding the latter in magnitude. By contrast, the effect of high disagreement disappears after a coin’s margin trading is activated.
Details
- Title: Subtitle
- The Negative Abnormal Volume Return Relation in Cryptocurrency
- Creators
- Jon A. Garfinkel - University of IowaLawrence Hsiao - National Taiwan UniversityDanqi Hu - Peking University
- Resource Type
- Working paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.4345640
- Number of pages
- 62 pages
- Alternative title
- Disagreement and the Cross Section of Cryptocurrency Returns
- Language
- English
- Date posted
- 02/02/2023
- Date updated
- 02/06/2024
- Academic Unit
- Finance
- Record Identifier
- 9984414059502771
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