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Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach

Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach

Conference paper

First Online: 07 May 2020

The dependency between volatility and liquidity is thoroughly examined in the contemporary literature on the financial markets. Especially, on the stock markets, liquidity tends to evaporate when volatility increases. Still, very few papers examine such relationships within the cryptocurrency markets. In this paper, we verify whether the volatility and liquidity of cryptocurrencies are interrelated. Our sample consists of 12 highly capitalized and traded cryptocurrencies. We consider both daily and weekly liquidity measures and thus extend the set of proxies. In order to examine the dependency between cryptocurrencies, the causality approach is employed. We use an asymmetric causality test to separate the influence of growths and declines of volatility to the changes of liquidity direction and the other way around. Overall, the empirical results indicate, inter alia, that high volatility is a Granger cause to high liquidity, which means that high volatility attracts investors and induce higher interest in the new financial instruments.

This work was supported by the National Science Centre in Poland under grant no. UMO-2017/25/B/HS4/01546 as well as by the grant of Poznan University of Economics and Business: “The Future of money—cryptocurrencies, local currencies and cashless society”. We would like to thank prof. Bogdan Włodarczyk and other participants of the international conference WROFIN2019 in Wrocław for the fruitful discussion and inspiring comments, as well as the participants of the international conference ICOFEP2019 in Poznań. We also acknowledge the constructive feedback on the earlier versions of this paper from the participants at SEFIN seminar (

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  • © Springer Nature Switzerland AG 2020

    • Barbara Będowska-Sójka
      • 1
    • Tomasz Hinc
      • 2
      • Agata Kliber
        • 1
        • 1.Poznań University of Economics and BusinessPoznanPoland
        • 2.OLX GroupPoznanPoland
        • Source:

          Author: AuthorsAuthors and affiliationsBarbara Będowska-SójkaTomasz HincAgata Kliber

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